Were all stories ever published under a single cover? And if not, why not?
Do you mean like a "Complete Judge Dee" collection, or publishing them with the same kind of cover design? Because while the former unfortunately hasn't happened, I think the latter has several times. There's more than one set of cover designs, but IIRC, all the novels are published by University of Chicago Press.
I meant the former... I know that the latter has happened, because I am currently tracking down the last missing books from one of most recent same-cover releases. Is there any particular reason why nobody has published them all in one volume yet?
There's a French version that compiles every story, but it requires four thick books. Putting them into one is probably too big a book.