In informal Australian English, “I might shoot through” usually means “I may head off” or “I need to leave quickly”; it does not mean shooting through an object. Shoot through is more casual than leave and places more emphasis on speed. Dictionaries also note that it can sometimes imply leaving to avoid something.
A: Are you staying for another coffee?
B: No, I might shoot through. I’ve got an early start.
It sounds natural among friends or familiar colleagues. In a formal meeting, or when your departure needs to be clear, “I’ll need to leave at three” is better because it does not risk sounding as though you are slipping away suddenly.
https://dictionary.cambridge.org/dictionary/english/shoot-through
https://history.cass.anu.edu.au/centres/andc/aussie-english-beginners
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