Your title says it all: you should be thankful.
With the twins thing, it's possible you go early, it's possible you won't make the shower. But you are right, you should still be thankful.
Plus, it sounds like your overriding concern is comfort. You write:
I know I should just be thankful that they are having this party for me but I am so worried that I will be miserable.
And I simply cannot understand why you would be too "miserable" to attend a baby shower at 34 weeks!
Yes, you will have to be in at least a semi-upright position for a few hours. You will get hot and you will be tired and you will be ready to get it over with. BUT you will feel that way at work and at home too! What are you planning on doing when you're not at the party? Will you recline in bed down 24 hours a day? So yes, you might be miserable. But you might be miserable all the time.
Bottom line, you should thank your friends and enjoy your party.
Sorry to pick on you, OP, but I've said it before, and I'll say it again: all these "my baby shower is too laaaaaaate" threads are nothing but code for "it's sooooooo unfair to have to wait to get my presents".