The way I thought logical for my situation were to get the US copy of Shenmue and the PAL copy of Shenmue 2. Then upon beating the first game, backup the save data with a SD card reader or over the net via dream Explorer, then use
this program to convert the save, transfer the data back using a separate VMU, and then continue onto the second game.
Edit: I didn't realized that the tool I linked was a .cdi file so backing up the data is still recommended. Interesting that I learn something new every day.