Shapes on a sheet have no mouse events AFAIK. So a work around is to put an ActiveX control such as a label, on top of your shape. You'd have to set the label properties so that it blends in, and the label and shape borders would have to be very close in proximity. For instance, a rectangular label on a circle or oval may leave shape areas without being able to click on the label because it's not at that location.
Then you'd have to set label properties so that you can't see it, otherwise, you have to worry about the fact that the label will take the focus and show as white (or perhaps some other colour). So matching background color and no border ought to work. That can be difficult because shape palette values are different from control values. F'rinstance, these 2 colours are the same: #4472C4 (shape) and &H00C47444& (activex label) so you need a conversion calculator to convert 44 to Hex 2C, and then you have to realize that the order of the values are reversed in one system vs the other. Notice above that in the shape, C4 is at the end, whereas in the label, it comes first (Excel should put the padded zeros in for you).
A lot of kluding around, so you may want to rethink the goal.
EDIT - forgot to mention that to know which button was clicked you'd use the Button parameter value that the event passes to the sub. Primary button is 1, other is 2.