Let me preface my remarks by commenting that I don't think that there were, in fact, multiple Shadows. It's an interesting idea, but basically unnecessary. While the Shadow (whom I believe to be Kent Allard, the son of Theophraste Lupin and Madeleine Allard) may well have employed individuals to pose as him, as part of convoluted strategies, I doubt that any of them merit any close examination. However, there may well have been multiple individuals referred to under the name Margo Lane, and the distinctive nature of their characters merits closer examination.
The first "Margo" appears in 1931, as an associate of the Shadow accompanying him as he observes the results of King Kong's fall, as described by Farmer in "After Kong Fell". Lai, an authority on the subject, states that "this could not be Margo Lane because she didn't meet The Shadow until the 1940's in the pulp novels. The woman must have been someone else named Margo." (Lai, _A Chronology of Shadows: Part Two_). I suspect that this woman is the same individual who operated as an agent of the Shadow in the 1930s, as depicted in the DC Comics title _The Shadow Strikes_. The authors of this comic series, discovering accounts of the Shadow's activities in this period and the presence of a female character, made the assumption that she must have been the character portrayed as Margo Lane in the pulps and radio series.
As the comics depicted, "Margo" -- or Mary DeLorn, to use her birth name -- was born in New Orleans, the daughter of an African-American woman and an unnamed Louisiana politician. (Could she have been the daughter of Huey Long? Only the Shadow knows.) Mary became an agent of the Shadow in the late 1920s, sometime before Harry Vincent was recruited (as depicted in _The Living Shadow_), and certainly was in position to accompany her chief on the occasion portrayed by Farmer.
Was she in love with the Shadow? Perhaps. She was certainly drawn to him, but many people of both genders were drawn to him in various ways. But if it was love, it was a hopeless one ... and she gradually grew closer to Harry Vincent. It is my hypothesis that they eventually wed, and had a son in the late 1940s ... who was the father of Irene "Rally" Vincent.[1]
The second "Margo" is the woman of that name who assisted the Shadow on cases depicted in the radio series beginning in the late 1930s. I hypothesize that the beginning of this woman's association with the Shadow occurred as depicted in the highly fictionalized movie _The Shadow_, set in 1934. This Margo, the daughter of a theoretical physicist, possessed certain untrained psychic abilities, and was more involved with the Shadow's identity as Lamont Cranston. I suspect that it is this woman who eventually betrayed the Shadow in some manner, and that he would one day relate his vivid revenge fantasies against her to his young associate Cordwainer Bird.[2]
The third "Margo" -- the Margo who appeared in the pulp magazines -- first associated with the Shadow beginning around 1940. It is she who was, as Farmer speculated, the sister of Lois Lane -- quite possibly Lois' twin, though not an identical twin. She was also the mother of the man Farmer called Kent Lane. It is unlikely that there was a familial connection between her and the "other" Margo Lane ... but I could be wrong about that.
If Occam's Razor states that it is vain to do with more what can be done with fewer, then it should contain a corollary: that it is often foolish to do with fewer what ought to be done with more. Hypotheses that present the various women known as Margo Lane as a single individual often have a ring of incredulity. Are we really to believe that the Shadow would really abandon a woman he supposedly loved -- when she might have been with child -- in order to go off to Shangri-La? Why is there no mention of the child who became Kent Lane in the comic series that puports to depict his exploits in the 1980s?[3]
Furthermore, the mechanism for tying the various origins of these women together seems highly forced. _The Shadow Strikes_ portrays a woman who is still very uncomfortable about her past, a far cry from the woman who has accepted a "Dr. Samuel Reinhardt Lane" as her true father. Is it not simpler to accept that they are two different characters, alike only in their association with the Shadow?
[1] Rally is very clearly of mixed ancestry, though her exact family heritage is unclear.
[2] Bird was, by his own account, very uncertain whether he should believe what his "uncle" told him about the murder of Margo Lane.
[3] If there is any truth to the events depicted in this series, it escapes this researcher.