Publishers Weekly recently compiled a list of 10 such short-story collections: http://www.publishersweekly.com/pw/by-topic/industry-news/tip-sheet/article/72933-the-10-best-interlinked-short-story-collections.html?utm_source=Publishers+Weekly&utm_campaign=e27b95cc62-EMAIL_CAMPAIGN_2017_03_03&utm_medium=email&utm_term=0_0bb2959cbb-e27b95cc62-305759197.
Here are a half dozen novel-in-stories books I would recommend:
Winesburg, Ohio by Sherwood Anderson
13 Ways of Looking at a Fat Girl by Mona Awad
Dubliners by James Joyce
The Beggar Maid by Alice Munro
Olive Ketteridge and Anything is Possible by Elizabeth Strout