I recall a children's magazine running an article about how to take a few smaller sets to create a big space ship, but I am not sure if that was official.
Did LEGO ever create some smaller sets, but market them in a way to convince buyers to buy several other sets, so that they could be combined to create a single large set from those?
Some of the LEGO Star Wars Mini Building sets contained additional parts that could be combined to make an additional model.
For example, the additional parts from sets 4484, 4485, 4486 and 4487 could be combined to build a TIE Bomber.
This additional model could be built at the same time as the primary model; the primary model and additional models didn't share parts.
You could buy special packs that contained all 4 sets.
Many BIONICLE sets were marketed in this way.
For example, here is an instruction booklet page showing 8533-1: Gali, 8535-1: Lewa, and 8536-1: Kopaka can be combined into Toa Kaita Wairuha.
I think BIONICLE has probably had the most combiner models, but other themes have had them as well. The earliest combiners I know of are the Slizer/Throwbot ones, though I don't think instructions were released for them.
Brickipedia has a large, though maybe incomplete, list.
The Mixels range was made this way. Here's the last page of just one of their instruction docs showing the combination of three mixels into a bigger one
There are a few Technic models which had this as a selling point, such as Race car 42011 which lists
Combine with the 42010 Off-Road Racer for a super-fast Dragster with pull-back motor, adjustable rear wing and opening cockpit
as a selling point. Obviously Off-road Racer 42011 has the same selling point. These were 2013 models, but there are equivalent models in the 2017 releases: Stunt Truck 42059 and Stunt Bike 42058.
It has been fairly common to provide the ability to power certain Technic models by adding a separate motor kit.
Here's an example from the PF motor kit:
And another from a set from 1994:
