Check out the "Berserker" stories (mostly short stories, some novels) by Fred Saberhagen, and the "Bolo" stories by Keith Laumer. Both have a common theme (in the one case, alien unstoppable self-aware war machines, in the other... well... not-so-alien unstoppable self-aware war machines) but the structure of the stories is much as you describe. They happen at different times and places, with characters and settings almost always different, but always featuring the one thematic element. It works for short stories, and short story collections, but you couldn't call the anthology its own story.