For Bluetooth devices in general, it seems that you are (currently) out of luck.
For audio devices (i.e. speakers and headphones) specifically, there is a solution though!
You can use the command ‘Set playback destination to’ and select your Bluetooth device. Make sure it is currently connected or else it may not show up in the list.
Note that as of right now (iOS 14.0), the command is bugged and may silently terminate the execution of your shortcut unless that device is already connected (i.e. unless it does nothing). Weirdly enough, this can be fixed by simply adding the (exact same) command twice in a row. It will then do exactly what you expect: Wait for the device to connect, and then continue running the shortcut - or show an error message if it didn't work.