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Davenport, 31 and a mother since last June, said she had pulled out for "personal reasons."
Tu says she is "insufficiently recovered" from a hip complaint and Shaughnessy has a left knee injury.
They will be replaced in the women's draw by Canadian Aleksandra Wozniak, Taiwan's Su-Wei Hsieh and Colombia's Catalina Castano.
The Federation also confirmed the absence of US star Andy Roddick, announced on Monday by his brother, with a shoulder injury.
Argentine Guillermo Coria, a 2004 Roland Garros finalist, replaces him.
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