To get gigpress to be able to filter by several venues (instead of one) using the shortcode, you have to change line 63 of gigpress_shows.php (located in output folder) to:
if($venue) $further_where .= ' AND show_venue_id IN (' . $wpdb->prepare('%s', $venue).')';
Then, you can use the shortcode like:
Help get this topic noticed by sharing it on Twitter, Facebook, or email.