You raised such a fascinating question. I’ve been reading about wolves, coyotes, and dogs for a couple of hours now.
This article says that wolves and coyotes are two different lines of descent from a common ancestor. (Perhaps, not too unlike Homo Sapiens and Neanderthals.)
“ That ancestor gave rise to two species — the predecessor of today’s gray wolves and that of today’s coyotes — somewhere in Eurasia. Dr. vonHoldt said that the two species then migrated into North America.
There, coyotes evolved into small predators that specialize in taking down smaller prey. Wolves took a different path, relying on their larger size and great speed to prey on moose and other big mammals.”
https://www.nytimes.com/2016/07/28/science/red-eastern-gray-wolves.html