I know exactly how you feel.Can you find someone on the Mudcat (maybe start a thread?) who is local to you, and could accompany you to an event? That's how I first got involved in the local music scene, when I was in a bad way- very down, shy and lacking in confidence, I answered a request for local mudcatters and we met up, having exchanged some details by PM first.
Really helped me get my confidence back. Thank you, Mudcat!!!
All the Mudcatters I have met have been very friendly, 'nice' people, so it's safer going somewhere with a catter than walking into a strange place full of strangers.
Good luck, and PM me if you wish.
Noreen