Change the input language to english when shift is pressed

On Windows and Linux, when I'm typing in Hebrew and pressing the shift key, the input language automatically changes to upper case English (just while the shift is pressed, when I let it go it changes back to Hebrew).

Is this possible on OS X also?

Found a solution.. Switching to 'Hebrew - PC' keyboard instead of 'Hebrew' solved it :)

You can use caps-lock to enable a "second input layer" besides the Hebrew one.

On my system (Mavericks) the following applies if the Hebrew input source is the only available (besides the English one):

Normal Hebrew keyboard layout:

If you activate caps-lock you can enable an English keyboard layer while using the Hebrew input source. The English keyboard layer works normally then: lower case English:

To enter upper case English you have to press the shift key additionally:

If you enable a third input source (in my example French) in the System Preferences switching first to French and then to Hebrew activating caps-lock will show a French layer:

If you press the shift key additionally you will get upper key French.