Suzanne Vega, Shepherd's Bush Empire, London

Don't waste your time calling out requests at a Suzanne Vega concert. No, she explained during Monday's show, that song was too sad and long, but when the time came for a sad, long song, it would get its turn. And as for "the one about the diner" – "That usually comes last, so if you ask for that, I'll know that you want the end to come sooner than it otherwise might."

Another one required a sequencer that she didn't have, what with there being just her and the nimble-fingered bassist Michael Visceglia on stage. When pushed, Visceglia played the thighs – his own, not Vega's – but impersonating a sequencer was beyond his powers of improvisation.

Not that Vega wasn't eager to please. She glided on stage, thin enough to slip between the pages of a closed book, and strummed authoritatively through "Marlene on the Wall", shaking her long, straight, copper-coloured hair. Had she, as the song wonders, given away her goods too soon? No, there was better to come, and not all of it set to music. She told us about the people who whisper into her shoes, and she recalled her days as a counsellor at a New York summer camp, where she fell in love with a Liverpudlian who spoke poetically of cooked breakfasts. When they parted, she wrote him a song and he gave her his bandanna. He also inspired "In Liverpool", with its stirring chorus in waltz time. "So he gets two songs," she noted. "Not that he deserves them." A whole other, unspoken story became visible just beneath the surface, like a splinter or a drowned body.

Only once did Vega forgo understatement, confiding that "Rock in This Pocket" was about David and Goliath. Putting aside the quibble that David is unlikely to have used the phrase "out like a light", her explanation nailed the song to a literal meaning, killing it stone dead.

More enduring were the sore mysteries of "Luka", which has survived not only the years but a Lemonheads cover version, while a few songs from the forthcoming album, Songs in Red and Grey, hinted that Vega's glories aren't confined to the past: the lyrics of "Harbour Song" made you lovesick, just as the lolling rhythm made you seasick, while "I'll Never Be Your Maggie May" was much more than a neat title.

And eventually she did give us the one about the diner – "Tom's Diner", actually – which was augmented by a bleary audience singalong. And we even got that sad, long one, too – "The Queen and the Soldier". It's certainly not her subtlest lyric, but then I first encountered it when someone read it out in my English class – and you can never really come back from something like that, can you?