No research can prove any explanation as to why humans are so cognitively responsive to stories.
Moreover, while one may be able to find evidence to support a plausible theory, such evidence will only be correlative, and as such cannot prove cause.
That said, there have been many studies about correlating emotional stress with with long term memorization.
While the comprehension of bare facts does not require emotion, the full comprehension of a story does.
It has also been shown, that when presented with a story, your mirror neurons are activated, and you become more susceptible to suggestions of feeling. You then take on the emotions presented to you, and these emotions, much like the ones in the stress studies, are thought to help solidify memories in your mind.
Despite all of these insights of how stories affect us, the "why" still cannot addressed.
One might theorize about an "explanation" of how it might be evolutionary advantageous to remember things with strong emotional ties vs information without such context. However, it is prudent understand that such explanations provide no testable hypotheses, and thus should not to be confused with "scientific explanations".
As such, "Why" questions are generally the realm of philosophy and religion.