Literally was just thinking about something similar, but hardware assisted modding. Been a pipe dream for years (although, after DreamPi and GDemu, what isn't possible anymore from the homebrew community?) for the modem port to be utilized as RAM expansion ala Saturn carts.
San Andreas style Shenmue with your modding ideas and expertise would be so cool. Although, realistically, the solid state benefits of GDemu essentially do this without sacrificing the load screen entirely or any code modding.
EDIT, this idea is very much in layperson terms. I'm no programmer. For all I know somehow could be possible without extra RAM. PS2 had DVD and double the RAM for a much bigger map of GTASA compared to Shenmue I (or even Shenmue 2?), although much less detailed or interactive. Perhaps 16MB isn't actually enough to stream load either Shenmue. Anyway, I digress...
I actually attempted to do this once:
https://www.youtube.com/watch?v=nR9GcbIONIg
Sadly the game engine doesn't like it too much.