It depends on the exact result you want, it could be many many different things.
Here is one way http://screencast.com/t/3ZllQXOahzM
If you want a hole through the middle then don’t extrude to the centre and just then bridge the top and bottom edges.
Why you using shapekey for? That is what causing the problem. If you fill each open end, will 3D print. Plus face normals need to be recalculated where they all point outside. Avoid ngons for fill. use Use Solidify mod if it needs a wall thickness.