My action button doesn’t show shortcut it’s not listed on the action button menu

Open the Apple Watch App on your iPhone.

Tap My Watch

See Action Button in the group of options under My Faces

Tap Action Button

Tap Action and that's where the option for shortcut is located

Hey, I found link which may explain why you may not see the Shortcut button on your Ultra --> https://www.myhealthyapple.com/apple-watch-ultra-action-button-shortcuts-missing-check-out-these-tips/

That is odd. It's on my Ultra and iPhone.

I'd contact Apple directly for help. You can call 800-MY-APPLE assuming you're in the US.

You're welcome. Glad I could help. There are a bunch of Youtube videos on how to program the Shortcut button for your Apple Watch Ultra.