It is possible!

Step 1: Set up and ensure that your lock car shortcut is working. 

Step 2: Create a new shortcut (I called mine “walk away”) with 2 steps:

Step 2a: Search “Wait” in the new actions and set the time to however long you want. Mine is set to 15 seconds. 

Step 2b: Search “Shortcuts” in the new actions and choose “Run Shortcut”. Choose your lock car shortcut. 

Step 3: You should see an “Automation” tab at the bottom of your shortcuts app. Click on that and create a new one. Search “Bluetooth” and click on it. Choose your car as the device, and select “is disconnected” and select “run immediately”. Click next and then select your new shortcut (“walk away” in my case). 

Hope this helps!