Bill,
I don't think that it would be a good idea to do it too often or too much. Clay pigeons do contain some toxic materials like petroleum resins, paint, and Polycyclic Aromatic Hydrocarbons (PAHs). Also some of your lead shot could end up in your pond. Lead is toxic as well. The lead and PAHs can bioaccumulate to levels that are harmful to aquatic life and even you if you eat a bunch of your fish. I did find an article that talks about acute toxicity of clay pigeons to aquatic life. It found little acute toxicity in aquatic life to clay pigeons. Chronic tests have not been performed, so toxicity from long term exposure is unknown. Here is an article I found. http://www.rangeinfo.org/resource_library/facility_mngmnt/environment/toxicity.htm

So, you are probably ok to do it once in a while, but would not do it regularly as this stuff can accumulate in your pond and cause problems later.