The ending of Peng Shepherd's fantasy fiction work is rather hazy and ambiguous. To make any sense of it, you'll have to understand the premise of the whole story.
In a nutshell, this novel is set in a future time in which people have started to lose their shadows. Even more alarming is the fact that once you have lost your shadow, your memory will be the next thing to go. The first person to lose his shadow was a man in India, and the phenomenon soon started to spread all over the world.
The main characters in this story are Orlando Zhang and his wife Max. At the start of the story, both have lost their shadows but neither have yet lost their memories, and they are desperate to keep these memories intact for as long as possible. Fearing that she might cause harm to her husband once her memories are gone, she disappears without telling him where she is going.
Orlando's response, of course, as a loving spouse, is to track Max down—and this is where the story gets rather ambiguous. Orlando eventually meets Ursula, who has both Max's personality and memories. It is presumed that the way in which Ursula acquired these traits had something to do with her tape recorder and a man she met along the way who had never lost his shadow.