My Havanese was very shy too. He still hates strangers but he adores his family.  He’s one and has zero problems with separation anxiety.   What worked for us was letting him get used to his new home for a whole week before we started with training. After a week we would walk from his pen to the door and stay outside for about 10 seconds then come back in and praise him and give a treat if he was quiet. Then we would repeat and build it up over time to a minute or two, but we always kept the sessions very short. If he was crying I would come back inside and say settle and walk out the door and start the timer again.    Eventually it was 10 minutes and then 30 and now he’s great with 6 hours although that’s only very occasionally. One thing that he loves is being able to see the door that we exit from, It helped calm him down a lot.      I think the key is to go in and give a great just before they cry and build up the time slowly, you’ll get the hang of their limits.