Peggy On Gold Mountain was the nonfiction book published in 1995 about the Lee family settling in LA Chinatown. You may be thinking of Shanghai Girls, a novel.
This answer contains spoilers… (view spoiler)[As I was reading the description for "The Valley of Amazement," I couldn't shake the feeling that I'd read a really similar book in the last several years. I think it's Jennifer Cody Epstein's "The Painter from Shanghai," which the first half follows the protagonist into a brothel, where she has to learn the intricacies of courtesan life by watching the other courtesans. (hide spoiler)]