If you define a shortcut on window manager's level, it won't go to Nautilus. Combined with Zenity, you can even show yourself an alert.

First make sure Zenity is installed

sudo apt-get install zenity

Now go to System Settings (or run gnome-control-center) → Keyboard → Shortcuts tab, select Custom shortcuts (last item in the left menu), click + to create new shortcut. Call it however you want, and set this command:

zenity --error --text='Stop doing that!'

Once you add the shortcut, assign Shift+Delete to it. Now every time you press Shift+Delete, you get a warning box. Unfortunately this means you can't use this shortcut within any application, but it's rather quick workaround to get rid of a habit.