What do you call a data structure containing multiple lists?
If you don't care about the order of elements (e.g. you can deal with sets instead of lists) then the union-find structure gives an (amortized) constant time union operation.
There's also the unrolled linked list but the idea is to unroll a list for better cache performance rather than better performance when concatenating lists. For this reason, the number of elements at each node is generally bounded.
I don't think the data structure you describe has a name. It will act like a linked list in the worst case e.g. O(1) to add at the front/back and O(n) to search but you get the added bonus of O(1) concatenation that would be O(k) (for k new elements) with linked lists.
If that's all you're doing with your list then there doesn't seem to be any need to rearrange your list at any point e.g. by coalescing or splitting up nodes.
Update: An example of a specific data structure that seems to behave in the way you want is the Quicklist in Redis. It is described as a 'linked list of ziplists' where a ziplist is a contiguous bit of memory.