I'm definitely not certain, but I did a bit of a search and as far as I can tell, ANZ does not use standard TOTP, which would mean Authy won't work with it, unfortunately.
You could always just try it, though. Usually setting it up requires you to enter a code produced from it, so if that doesn't work you'll know it doesn't work.
My bank (Bank Australia) uses Symantec VIP. Which looks like standard TOTP. In fact, I'm pretty sure the Symantec VIP app does also support standard TOTP codes. Unfortunately though, it's not quite. As I understand it, VIP uses standard TOTP, but in a way that doesn't expose the credentials so they can be imported by standard TOTP apps. Some awkward workarounds exist to extract the right credential and allow you to put them into Authy.
I've heard Symantec offers a white-labelled version of their app. Is it possible that ANZ Shield is one of these, and that therefore the workarounds would work for you? Could be worth a shot.