Why doesn't $O(1)+O(2)+\cdots+O(n)$ have an interpretation?
Since $1+2+\dots+n =O(n^2)$, it is tempting to suggest that $O(1)+O(2)+\dots+O(n) = O(n^2)$ ... but this is not in fact valid.  The reason is that there might a different constant for each term in the sum.

An example

Let me give an example.  Consider the sums $S(1) = 1^2$, $S(2) = 1^2 + 2^2$, $S(3) = 1^2 + 2^2 + 3^2$, $S(4) = 1^2 + 2^2 + 3^2 + 4^2$, and so on.  Note that $1^2 \in O(1)$, $2^2 \in O(2)$, $3^2 \in O(3)$, $4^2 \in O(4)$, and so on for each term in the sum.  Therefore, it would be reasonable to write $S(j)=1^2 + \dots + j^2$ in the form $S(j) = O(1) + \dots + O(j)$.  So can we conclude that $S(j) = O(j^2)$?  Nope.  In fact, $S(n) = n(n+1)(2n+1)/6$, so $S(n) = \Theta(n^3)$.

If that doesn't help, let's try the following more precise mathematical development:

A formalization

Recall that the interpretation of, say, $O(n^2)$ is that it is a set of non-negative functions $f(n)$ (namely, the set of functions $f(n)$ such that there exists constants $c \ge 0, d\ge 0$ such that $f(n) \le c \cdot n^2$ for all $n\ge d$).

The closest we can come to an interpretation of $O(1) + O(2) + \dots + O(n)$ is that it is the set of functions of the form $f_1(n) + f_2(n) + \dots + f_n(n)$ such that $f_1(n) \in O(1)$, $f_2(n) \in O(2)$, ..., $f_n(n) \in O(n)$.

But now the constants for each $f_i$ can be different.  Thus, each $f_i$ is a non-negative function $f_i$ such that there exist constants $c_i\ge 0,d_i \ge 0$ with $f_i(n) \le c_i \cdot i$ for all $n \ge d_i$.

Now, given this, what can we say about $g(n) = f_1(n) + f_2(n) + \dots + f_n(n)$?  Not much useful.  We know that there exists a constant $d=\max(d_1,d_2,\dots,d_n)$ such that $g(n) \le c_1 \cdot 1 + c_2 \cdot 2 + \dots + c_n \cdot n$ for all $n\ge d$.  Now what can we say about this sum?  Well, the answer is that we can't say anything at all.  It could be arbitrarily large.  It is tempting to let $c=\max(c_1,c_2,\dots,c_n)$ and say that $g(n) \le c \cdot (1+2+\dots+n) \le c \cdot n^2 = O(n^2)$... but this is not actually correct, since we need a single constant value of $c$ that works for all $n$, and the value $\max(c_1,c_2,\dots,c_n)$ is a function of $n$, not a constant.

So there might not be any constant $c$ such that $g(n) \le c \cdot (1+2+\dots+n)$; there might not be any constant $c$ such that $g(n) \le c \cdot n^2$.  There is no guarantee that $g(n) \in O(n^2)$.

For more reading

See https://math.stackexchange.com/q/86076/14578 and Sums of Landau terms revisited for other questions that deal with this general issue.