Lots of games can load saves from other games. Some games can even load saves from a different platform. MGS5 can load data from Ground Zeroes. FFX on PS4 can load data from FFX on PS3. Rogue Legacy can cross-save in either direction, PS4 to PS3 and PS3 to PS4. It's also automatic.

When I hear "each episode will be a full sized game", i can't help but to look at the length of many current gen titles. A full story-focused game can be as little as 8 hours nowadays.