I have taken some video of me against a green screen and have managed to key out most of it, apart from a section in between my legs, which was caused by a shadow. The shadow is much darker green than the rest of the screen.

Any suggestions for getting rid of this? Is it possible to save the video, re-import the 'almost keyed' version and then key it again for the new shade of green?

Most definitely. I pull multiple mattes a lot in After Effects for this reason. I would export a quicktime reference to save space however. Never key'd in FCP but can't you do multiple keying effects?

You could add a second chroma keyer to it focusing on the second shade of green.

In FCP6 you can do multiple shades with a single Chroma Keyer. Just hold down option when you use the eyedropper to add other shades of green to the original eye dropper selection.