This paper has it down as a secondary adjunct wh- phrase (pdf)
How would you classify the words "how" and "come" when they are used in questions, such as "How come you bought that book"? The meaning and structure is similar to "Why did you buy that book", but there is a significant difference. The phrase "why did" is a typical Adverb + Auxiliary Verb combination. It could be replaced with any other combination, e.g. "When will", "How could", "Where can", etc.
The word "come" cannot be considered a main verb. It cannot take a subject. It cannot be an auxiliary verb either because it has no effect on the form of the main verb. We can use any tense and aspect in "how come" questions, e.g. "How come you have been avoiding me". vs. "Why have you been avoiding me".
I think the phrase "how come" is similar to phrases that we use for suggestions and short elliptical agreements. For example, the phrase "how about" in "How about we eat dinner together" and the words "too" and "neither" in "me too" or "me neither". I think these words and phrases are all disjunctive adverbs. They follow the pattern Disjunctive Adverb + Clause / Disjunctive Adverb + Noun Phrase / and Noun Phrase + Disjunctive Adverb.
Disjunctive adverbs normally modify entire clauses, as opposed to predicates, e.g. "Frankly", "By the way", etc.
Wow, let me get this straight. A wh-phrase is a constituent that has undergone wh-movement to form a question. However, no movement or subject-aux inversion occurs in a secondary adjunct wh-phrase. The author put a lot of thought into this problem, but he/she didn't convince me.
If you're going to use a cross-linguistic perspective with comparisons to Mandarin, why wouldn't you mention how questions are formed by adding the particle "ma" to declarative statements? That's more relevant to "how come" constructions than "weishenme" questions. The comparisons to "why the hell" questions are even more irrelevant.
Disjunctive adverbs and interjections express the point of view of the speaker. The phrase "the hell" is a true adjunct that could be replaced by "in God's name" or "in the world", or it could be omitted. Classifying the phrase "how come" as an adjunct seems absurd to me. It's like calling the particle "ma" an adjunct. The essence of a complement is that the meaning of sentence is changed when one is removed. That's what happens when you remove "ma" or "how come" from a sentence. A question becomes a statement.