A Shavian play is any play that relates to or has the charateristics (humor, wit, style) of Gerorge Bernard Shaw. You can see how his name is a Latinized form of Shavian. Since Shaw in fact wrote Pygmalion, it is a Shavian play.
Pygmalion is characteristic of Shaw because it follows his typical style. While he shunned the "Art for arts sake" mantra of the time, his plays often do not end in the happy boy wins girl structure that audiences are accustomed to. Instead he wishes to challenge his audience and force to them to question and confront current social issues: traditional gender roles, issues with class and economics, etc. Since Pygmalion touches on these standards, in the style of Shaw, it is a Shavian play.