Not sure what I think of this. It sounds like an interesting idea, but I have a hard time figuring out whether I would actually end up wanting to read a series of books like that. That doesn't mean it couldn't be really well done, but I think I would possibly just skip reading that kind of book, unless someone recommended it to me very highly. But that's just me, and if the plot sounded interesting enough I'm sure I'd get over any reluctance I might have and read it!
I think it would be pretty important to leave the audience really curious. If I read a book and I am more or less satisfied with the end, then even if I am wondering about a few things I might just stop there... or google search what gets revealed in the next books to fill in what I missed. I feel like it would need to end with some huge questions that you felt just
needed to be answered in order for you to sleep at night kind of thing. I don't know why, but I'm thinking a little bit of a magic trick right now, the crazy intense kind that leave you wondering for days how it worked. If you could capture this feel and have each novel reveal some aspect of the 'trick' (plus probably introducing some new questions) then I would probably be a lot more hooked.
You probably have a plot in mind already, but one thought is I think this could work well with some kind of mystery. If there was some kind of criminal mastermind who pulled off an impossible heist or some such, so that even though each story you might catch the guy and conclude the story, there are aspects of the mystery that are still not explained and things that the criminal did that still seem impossible (like a magic trick!) and leave the audience dying to figure out how they pulled it off. How did he manage to pull of (fill in the blank)? How did the money disappear when no one was in the vault? etc. This probably isn't what you are going for, but I think it could be pretty cool!
Anyway, those are my thoughts.
I think I could definitely work, but you're going to need a really intriguing plot that allows for several things to be unexplained/unresolved while the story could still be 'concluded' for each book.
Hope that helps!