She may have told you that she doesn’t remember anything because she may feel somewhat awkward and confused.
Yes, the fact that she is shy may have a little bit to do with it.
However, it may mostly be just a sense of awkwardness and confusion.
She doesn’t quite know what all of this means.
She doesn’t quite know where things should go from here between the both of you.
She may even still have some feelings for her boyfriend that she is finding hard to let go of.
By telling you that she doesn’t remember, it will give her more time to figure out where she stands emotionally and whether she would want to keep her relationship with you platonic, pursue romance or simply engage in physical intimacy and nothing more.