Hmm. Can any long-arc extended universe type stuff be traced to the 1920s? Especially in genre fiction?
Considering a hypothesis that it was a slump decade for EUs.
I wonder if the flourishing of fascism and communism in the 20s absorbed the energy usually directed at escapist EUs. Totalitarian high-modernism rearranged the shards left by WW1 into new and highly dynamic social forms. Propaganda as EU.
1920s Modernism was about angulating the ancient into an interpretation of the new industrialized world. So I'd put Ulysses in there. 1920s is the long-arc, not the immediate-episodic. Yeats. Vico. I'd definitely posit the Avengers series as a long-arc thematic '20s-Romantics.