I'm starting to think of this show as less of an episodic large-arc show like Sopranos or Deadwood, and more like a Red Shoe Diaries where there are a series of vignettes held together with a loose framing element. It isn't completely that, obviously, since Shadow's story is a lot more front-and-center than (David Duchovny's) Jake's story in Red Shoe Diaries (which I picked because it's the last vignette-based show with a framing element on cable that I can remember, besides maybe Tales from the Crypt), but if you look at it as a hybrid of the two styles, it suddenly makes a lot more sense.
It isn't, but all of the Coming to America stories exist in the book as well.