Does clamshell mode affect wireless connectivity?
It's not so much there's an issue with WiFi while in clam shell mode, is where the laptop is positioned while in clam shell mode.

The WiFi antenna is located in the display assembly itself, so when it's open, you are in effect "raising the antenna."  When closed, you are "lowering the antenna" to a flat position which will affect reception.



There is a possibility that a poorly shielded HDMI cable/adapter will cause WiFi interference.  However, given that you experience the problem while in clam shell mode is indicative of placement.

Consider getting a "[vertical dock][2]" for your MBA so that the antenna is "raised."