SJG does not compile their sourcebooks as a general rule.
Their compilation volumes have been rules only; the examples are Compendium 1 and Compendium 2; one could include both GURPS 3E Revised core rulebook and GURPS 4E core rulebooks as similar in effect.
Further, they still make money on the PDF's, and excepting licensed items, most of their sourcebooks are available in PDF.
This has happened for the Dungeon Fantasy line. It was published in revised form as a boxed set, the "Dungeon Fantasy Roleplaying Game", in October 2017. As of December 2018, there will be a Kickstarter soon for a reprint of the boxed set, and a new bestiary.
There's also been a licensed third-party setting and scenario for the DFRPG, Hall of Judgement, from Gaming Ballistic. This is set in Norðlönd, a Viking-style region and culture.
Steve Jackson Games have talked about doing other boxed sets, such as space-opera, but not recently. Since the DFRPG has not been a huge financial success so far, I wouldn't expect other boxed sets any time soon.
IIRC, they have stated that the work compiling the PDF exclusive series into a single (hard|soft)cover book would not economically sound. It would require quite a bit of reediting, and they can only expect to cover the cost of printing for the big generic core books which appeal to a large cross-section of the players.