If you make it through the mess that is Asylum than I think you might find Coven a little more cohesive at the very least.
Also, although I do love me some Jessica Lange, especially that scene she steals in Murder House from off camera, I mean come on, she steals the scene from the actors in it while only appearing in voice, kudos. (Full disclaimer: I love that Blue Sky movie she deserved the oscar for). And her musical number in Asylum was the highlight of the season for me. What you will miss not watching Coven, which I imagine you must be getting from Asylum is the full on supernova trajectory of Lily Rabe. Seeing her Asylum & then Coven performance is I know think of the Horror Stories as her vehicle & not Lange's.