Shipping modules generally organize their own keys so that they show up when you go to Admin > Modules > Shipping > module name.
You can certainly create a new shipping group though if you want need one; many plugins do this. See for example, Ultimate SEO URLs.
https://www.zen-cart.com/downloads.php?do=file&id=132
But if I add a new constant that's related to shipping but not module specific (minimum order size for country X, as an example), I would put it in the existing shipping configuration group, group 7 (Admin > Configuration > Shipping/Packaging).