The following will do what you want:
from Tkinter import *
def proof(event=None):
print 'ping'
root = Tk()
frame = Frame(root, height=100, width=100)
frame.focus_set()
frame.bind('<Control-Shift-KeyPress-U>', proof)
frame.pack()
root.mainloop()
The u
becomes capitalized because of the shift modifier and you want to capture the KeyPress
event.