This is a hard question (seriously). Riding from McKeesport to downtown Pittsburgh (where the car parking and train station are) is the most contentious issue among riders on the GAP Yahoo group
- you may want to also pose your fair question there.
You can ride from McKeesport to downtown. I live in Pittsburgh, I've ridden McKport-Pgh at least eight times, and - honestly - it sucks. It's not bike friendly in any way, and I am very comfortable with riding in traffic. It's the sort of thing I'm willing to do myself, but I couldn't recommend it to a friend.
Now in fall 2011, "they" say there's going to be a trail route from McKport to Pgh. There's an awful lot of effort and money being put into it, they have a goal date of 11/11/11. Maybe it'll be ready sooner, maybe not.
OK, to answer your question, I'm going to give a two-part answer.
A. If money is no object and you don't like riding in busy traffic, then definitely engage a shuttle.
B. If you're willing to take significant risk, can't afford the shuttle, and want the full experience, then it is possible to ride into Pgh- I'd suggest posting your estimate of when you're in McKeesport on the GAP Yahoo Group, and maybe somebody will be able/willing to ride with you and show you the way.
The GAP is a beautiful trail, you'll enjoy it.