Check out the "Shenmue Online: Concept Art" video. Although the video is related to Shenmue Online, it reveals a lot about the original series.

Between 0:27-0:32 of the video, Yu Suzuki showed a map annotated with the chapter numbers and their corresponding locations:

⋅ Chapter 1: Yokosuka.
⋅ Chapter 2: The Boat. This is not in Shenmue II, but is in the side story comics.
⋅ Chapter 3: Hong Kong.
⋅ Chapter 4: Kowloon City.
⋅ Chapter 5. The kanji is illegible (to me), but it suggests a river's name. It may be one of the rivers along which Ryo travelled by boat to Guilin. I think this chapter contains minor details to the game, so it was left out as was Chapter 2. [Updated: It is Li River. See the discussions below.]
⋅ Chapter 6: Bailu. This is Shenhua's home village, which Ryo never got to in the Guilin part of Shenmue II.


The map also has other locations which Ryo will likely visit, starting from the bottom:

⋅ The kanji is illegible (to me), but it is near Shanghai. [Updated: It is Suzhou. See the discussions below.]
⋅ Luoyang. The tapestry in Shenhua's house depicts the city.
⋅ Meng Cun. Lan Di said that Iwao killed Zhao there.
⋅ Beijing.


The map confirmed Shenmue's first 6 chapters and probably all of the relevant locations.