Sort of? Hellboy spawned BPRD so they were running concurrently. Then each of those series ended and each has a sequel, Hellboy in Hell and BPRD: Hell on Earth. Recently they've rebranded a new print of the BPRD trades as BPRD: Plague of Frogs, which is confusing because that was the name of one particular volume of the previous BPRD trade print.Hellboy always played like an anthology book, where you would often have events taking part over many years, both backwards and forwards. But I think the bigger issue was that you had to follow... what, three books to get the complete story?
But really the chief problem is that for all the books you have to follow and the meshing that Yoshi is talking about, ultimately the story isn't very good and not worth the effort. Though the art is fun and there's a lot of imagination, the writing is weak. Many characters sound the same, some stories go nowhere, and often conflicts are resolved by some deus ex machina that is not explained in text, just cool imagery that the reader is probably supposed to figure out, but I think it's less that Mignola had an answer and more expected people to come up with their own so he wouldn't have to. I base this on because when he does want you to understand something, it gets explained in detail.
So, who wants to buy 24 trade paperbacks?