Well, there's this: http://en.wikipedia.org/wiki/Shock_(circulatory)
And I'm not an expert, but basically circulatory shock is when the perfusion of blood is somehow disturbed, for various reasons, the most common ones are severe blood loss and cardiac arrest. It leads to hypoxia and death, depending on the severity.
Psychological shock is more commonly called acute stress disorder. It's when people are disoriented after an acute primary stress response. It's not harmful by itself, though it might be a predictor of ptsd, I don't know if that link is there.
The shock blanket is for the former condition; people who are in circulatory shock need to be kept warm and calm so that they need as little oxygen as possible. I suppose you could use it for the latter condition too but people in psychological shock don't necessarily need to be kept warm. As far as I'm aware the most important in that situation is that people around them remain calm and don't reinforce the stress.