What do you mean by "complete"?
There are countless series of games that tell a continued story. There are none-or-almost-none that tell a complete story from start to end and then finish. You can't do that, because you always have to be open to making another buck by keeping that dead horse around for one more beating.
By 'complete', I mean it has an ending. The main thread is resolved and everyone can go home. One complete story. The none-to-almost-nones of the world.
@beachthunder I'm glad to hear about Deponia, those always looked good and I think I probably own all of them on Steam. I was really excited to see The Journey Down: Chapter Two release recently; I was starting to doubt its existence. I hope that'll end up one we can add to the list.