iPhone 4S iOS 6.1.2 Settings -> General -> Keyboard -> Add New Shortcut not case sensitive
It's not the Shortcut which is case sensitive, but the Phrase. And I don't think making the shortcut so is possible. And here's a reason why. If you enter in the phrase section a sentence, or a word, in lowercase, the way you use the shortcut will define the way the phrase will appear. Lets clarify this a bit.

Having the shortcut me: whatever, writing Me will be replaced with Whatever, and writing ME will be replaced with WHATEVER, and, of course, me with whatever. 

This won't work if you've used any capitals in the phrase section, which, therefore, makes a point.