I had this theory about The Shadow. After listening to the radio shows, I never heard them mention his outfit. Like carrying it with him, changing, etc. He just says something like "The Shadow will handle this.." then you hear his spooky voice. Also sometimes he and Margo were just out on the town or on a vacation.
Seeing as he has the power to cloud men's minds, my theory is that The Shadow as he appears on the covers of those pulps, is only in the mind of the criminals. Lamont just has two .45's but the rest is all an illusion.
I may be wrong as there may be text in the novels or an episode I missed that actually says thats how he looked. I find it much more intriguing though, if its all an act.
The Shadow as he appears can vanish because he was never really there.
UPDATE
In the pulps written by Gibson, The Shadow wore a slouch hat and a black, crimson-lined cloak with an upturned collar. (In the later comic books, and the 1994 film starring Alec Baldwin, he wore a crimson scarf across the lower part of his face.) He skulked in the shadows, using his skill at concealing himself.
However, in the radio drama which debuted in 1937, The Shadow became an invisible avenger who had learned, while "traveling through East Asia", "the mysterious power to cloud men's minds, so they could not see him." This revision of the character was born out of necessity: Time constraints of 1930s radio made it difficult to explain to listeners where The Shadow was hiding and how he was remaining concealed. As such, the character was given the power to escape human sight.
In order to explain this power, The Shadow was described as a master of hypnotism, as explicitly stated in several radio episodes.
I love this piece! I'm glad I'm not the only fan who noticed his face changing in the epic climax of the film, oh how I love that movie and the shadow ^^
not only do you know who the Shadow is, you drew this wonderful pic. I love you.