The Spaniard has netted 21 goals for the Swans since moving to the club in the summer under new manager Michael Laudrup.
While the 27-year-old has received plaudits throughout the campaign, Lambert has bemoaned the player's omission from the six-man shortlist.
"It is shocking really if someone like Michu can't get in with the season he has had," Wales Online quotes Lambert as saying.
"I don't know what it is but it is shocking that he is not in it."
Tottenham Hotspur winger Gareth Bale is expected to be named the Player of the Year.