Now to the topic at hand...Have we had a formal definition for key yet? I ask because you say you're playing in E minor pentatonic, but you're using three different scales, the other two of which don't derive from the E minor pentatonic. Or am I overthinking this? I'm just still muddy on the issue of what key a song is in, I guess.
A key is best thought of as a selection of notes that have a specific tonal centre. Remember the "tonic chord" I mentioned earlier? That's the tonal centre. The piece will tend to resolve to and rest on the tonic chord.
If the piece is in C major, the tonic chord is C. If the piece is in G minor, the tonic chord is Gm. The strongest way to resolve to the tonic chord is by way of an authentic cadence, where the penultimate chord is the dominant chord... V - I.
A scale is not the same as a key, although they correspond. If you play all the notes in the key of C major, in order, starting from C, you have a C major scale. However, take all the notes in C major and play them in order from A and you have an A "natural minor" scale. The keys of C major and A minor aren't the same though as they have different tonal centres.
If you look at Arizona Jones' example, he's playing in Em, which is the relative minor of G major.
The notes in Em are:
E, F#, G, A, B, C, D
The chords he's playing are:
Em7, chord tones = E, G, B, D
Am7, chord tones = A, C, E, G
Bm7, chord tones = B, D, F#, A
All you're doing in playing the pentatonic minor scales is in each case to add the fourth to the m7 chord tones.
Anyone who has noodled around with the pentatonic minor will have found, through trial and error, that it works best with the stronger chord tones on strong beats of the bar. That fourth sounds great as a passing tone, linking two chord tones, but sounds weak if you hit it, for example, on the first beat of the bar.
Of course, a lot of blues/rock guitarists and bassists are oblivious to the fact they're doing this because they learn by building up a library of riffs and never wonder why certain riffs work so well.

