Test if a string can be made with substrings!
Brachylog, 8 bytes
~c¬{∋¬∈}

Try it online!
This is really slow. Took about 37 seconds for the &quot;Hello, world!&quot; test case on my PC, and timed-out on TIO.
This takes the string through the Input variable and the list through the Output variable
Explanation
             String = ?, List = .

             It is possible to find…
~c           …a deconcatenation of ?…
  ¬{   }     …such that it is impossible…
    ∋¬∈      …that an element of that deconcatenation is not an element of .