For whatever reason there’s no collection available as of mid-November 2019. There are a couple of collections in the works, though.
In early October, a listing for a $19.99 Cinema Purgatorio Collection Paperback (due out April 28, 2020) appeared at Amazon. Soon thereafter Bleeding Cool ran a brief story about it, with essentially no additional information. Based on the cover art shown at Amazon, the collection appears to include just the Alan Moore and Kevin O’Neill’s Purgatorio stories.