Beef Wellington is an anglicised version of the French dish ilet de bœuf en croûte. Puff pastry is very traditional in french cookery where as shortcrust is more associated with english meat pies.
However! That is not to say that you cannot use shortcrust pastry. There are a lot of recipes around that use this alternative to puff, and the recipe is very adaptable- some have the beef surrounded by pâte, some by parma ham and a mushroom duxelles; there are many different ways to produce a Beef Wellington exactly the way you like it.
One of the benefits of using shortcrust over puff is that the wellington will be sturdier, so should the juices from the beef leak, shortcrust should hold firmer than puff will, and not break apart when it comes to serving.