Shaw, a 146-kilo 45-year-old reserve goalkeeper, was captured on television eating a meat pie toward the end of his side's FA Cup
defeat by Arsenal on Monday night.
Sun Bets, a bookmaker owned by the Sun newspaper, reportedly offered odds of 8-1 on any Sutton player eating a pie "live on air" during
The Sun also sponsored Sutton for the night and on Tuesday, the Gambling Commission announced it had opened an investigation.
"Integrity in sport is not a joke and we have opened an investigation to establish exactly what happened," the commission's enforcement and
intelligence director, Richard Watson, told the BBC.
"As part of that we'll be looking into any irregularity in the betting market and establishing whether the operator has met its licence requirement to conduct its business with integrity."
Players are banned from betting on any official football match in, even ones they are not involved in, and are also prohibited from
providing any insider information that could influence or corrupt a match.
Shaw told UK newspaper The Daily Mail he had known about the bet.
"I think there were a few people," he said. "Obviously we are not allowed to bet. I think a few of the mates and a few of the fans.
"It was just a bit of banter for them. It is something to make the occasion as well and you can look back and say it was part of it and
we got our ticket money back."
Sutton manager Paul Doswell admitted it had not been Shaw's finest moment.
"I would assume so (that it was for a bet)," he told reporters. "I think Wayne has become this global superstar on the back of being 23
"He's made that a chance to make some more media coverage off the back of it. The reality is I don't know, but it wouldn't surprise me.
I don't think it shows us in the best light." And chairman Bruce Elliott told BBC Radio 5 Live on Tuesday that he felt Shaw had got carried away with the occasion.
"If you knew the roly poly goalkeeper you probably wouldn't be very surprised," he said. "But Wayne is a top man.
"I didn't know anything about it. He has got himself in the papers again and the fame obviously has gone to his head a little bit, but we will soon bring him back down to earth, don't worry about that."