Actually, has it ever been stated in the comics that Shang has US citizenship? I can't remember. If NOT, then The Man CAN lock him up and deport him. Especially as all the scenes depicted so far are about American Police, it might well be THEY are in the right and it is Shang who is in the wrong.

And a slight aside: Shang must have some really strong (as in tough, but possibly odorous as well) bare feet to be able to break/smash a 38 police revolver! Thought the book was Deadly HANDS of Kung Fu, not FEET   

And our boy Shang must also be a damn good standing still high jumper for dodging that gunshot since it is likely that policeman was either shooting at torso level OR over Shang's head with a warning shot.