http://www.thefatlossauthority.com/fat_loss_tips/how-many-calories-are-in-an-egg-whiteThis cites egg whites as having 17 calories and yielding close to 4 grams of protein per.
So, if a low protein shake gets you about 19 grams of protein, you would need 5 egg whites, which would clock in at 85 calories.
This is pretty much the same protein/calorie yield as the common shake, except you're busting half a carton of eggs each time you eat that meal. The egg whites are going to be missing some other good stuff most shakes have like leucine or other BCAAs.
So it looks like a good shake is cheaper and better.
There are many websites that cite 0 calories in the white also though... if that's the case then I don't know why you wouldn't do it.