If the shortcut has the same name as the item you are attempting to open, be it a file or folder, then use Window 10's search function using that name (minus any reference to shortcut.) After locating, instead of creating a new shortcut for it you can Right-click the file or folder and choose Pin to Start. Thereafter the file or folder will appear in the Start menu.

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There's also the Pin to Quick access option instead of pin to Start.