If you updated TeXShop to version 2.36, you will no more get the list of references from BibDesk when you press
“option+esc”.
However, the solution is quite simple: istead of “option+esc”, press just “esc” 
. This solution may result in some unexpected result, as commented by Herbert Schulz (thank you guy).
So the right way to go is with F5 (or “fn+F5″ depending on the configuration of your keyboard).
Enjoy!
Howdy,
Pressing Esc will NOT work. Try using F5 which has been there all along.
Good Luck,
Herb Schulz
Howdy,
I should have tried Esc. It does work but won’t if the previous characters happen to be in the Command Completion file. I maintain it’s NOT the way to do it.
Good Luck,
Herb Schulz
Howdy,
I should have given an example of how using Esc to try to complete a cross-reference can mess up:
\documentclass{article}
\begin{document}
\section{My section}
Here is a reference to the figure: \ref{fig}
\begin{figure}
sdasdasd
\caption{my caption}
\label{fig:mycap}
\end{figure}
\end{document}
Now move the cursor after the \ref{fig and try to complete it using Esc. What you will get is Command Completion taking over and creating a bit of a mess (continued presses of Esc will eventually get back to where you started and the a press of F5 will do the proper job.
Good Luck,
Herb Schulz