Sounds like my girlfriend. She was shy, no sexual experience with guys at all and never had a boyfriend. I tried advancing early on, but I was denied. I remembered back to the time I was really shy, to understand how she was feeling. It's really just to feel uncomfortable around someone, like you don't know him/her or what may upset them (their boundaries).
So I mostly just focused on being comfortable, patient, open and calm. They usually open up if you just remain calm and understanding, not reacting emotionally negative and give them time. She gradually started being comfortable as she got to know me and see that I didn't do anything bad to her.
I had to take initiative for the sex though and the 5 first times she stopped me. I didn't try every time we met, again to ease her into it. Eventually she didn't stop me when I made advances and let me take her virginity. She was still a little shy though, but not anymore. Now she's just a little shy when we're around many people, but not at all when we're alone together.
She's turning out to be an amazing girlfriend. She's also very much into having sex, we're doing it every time we're together. Oddly enough she fvcks better than any experienced girl I've fvcked.
The game changes in such a way that you won't win unless you're seriously into having a relationship, meaning ordinary game is counterproductive. You either got to be honest or very deceptive to get them to bed. By deceptive I mean pretending to be interested in a relationship while you're really not. So basically don't play games.