Just as the PCI bus is fast enough for data to be passed to the computer for processing, rather than having lots of 'expensive' chips on the modem itself, so is the USB bus. Often, even though they are
external modems, USB modems are software modems too - just like the ubiquitous Winmodems.
You could try checking out
http://www.linux-usb.org/ for links to how to identify if you have a winmodem, and which are working. I know how annoying it can be - I bought a USB modem that I thought would work, but it turns out that there are two revisions my modem, and only one of them works (even that is a bit dicey, apparently), and mine is the other one! If your modem is listed as not working with Linux, then I would suggest you sell it on to someone else and buy yourself an external
serial modem.