A non-exhaustive list (in various languages but mostly English) …
anthology novel
ciclo de cuentos
connected short stories
cluster stories
composite
composite novel
genre of return
hybrid novel
integrated collection of short stories
integrated short story collection
interconnected short stories
interconnected stories
interrelated short stories
interrelated stories
linked short story collection
linked story collection
looseleaf novel
macro text
modernist grotesque
multi-faceted novel
narrative of community
novel-in-stories
novel in mosaic
novel in stories
novel of interrelated stories
paranovel
recueil de récits
related short fictions
related sketches
rovelle
short story sequence
short story composite
short story compound
short story volume
story chronicle
story cycle
story novel
story suite
unified volume of stories
See also this page with discussions of the different terms!