I have it on good authority that Sean Wrona, possibly the fastest typist in the world, does this too. When you really think about it, there's nothing wrong with doing it that way, but I agree that it feels wrong and weird.

https://youtube.com/watch?v=m9EXEpjSDEw this is what his typing looks like in action (though no clear shot of him using shift or caps lock as far as I can see)

https://data.typeracer.com/pit/profile?user=arenasnow his profile on a competitive typing website.

Edit: found a quote from his website:

I recommend using caps lock instead of shift to type capital letters to allow more flexibility in the hand that you would normally use shift with.