Yes, you can connect external RAM chips through the typical interfaces (mainly SPI or I2C). But you cannot execute code from it. The microcontroller is an IC, meaning Integrated Circuit. It is hard wired internally to execute from internal flash. You cannot change that. That is valid for every microcontroller, that executes from internal flash (which is somewhat a definition of a microcontroller). A processor - in contrast- like in a computer, is build to execute code from elsewhere.
If your code, that you want to store externally, isn't that complex, you could save the code there as an own (most likely binary) data format and write code for the microcontroller, that takes that data and executes corresponding functions. So basically an interpreter. Though on the small microcontrollers only code for rather small functionality will fit.
Yes, you can add external storage. Which storage depends on many factors. You can by external flash or EEPROM chips, just like external RAM chips. Common storage devices for microcontrollers are SD cards, because they can easily interfaces via SPI. You can even have a file system there (though the size is somewhat limited by the available RAM of your microcontroller, because it needs to load the file table). Maybe you can even connect an SSD, but you will have to look, if you can set up the corresponding interface for it. A microcontroller does not have SATA interfaces or similar. And adding extra chips for these leaves you fastly with interfacing chips, that are way more capable as the main chip itself (see Wifi and the ESPs: You could add Wifi to an Arduino Uno project with it, but the ESP is way more capable, than the Uno). Then you would need to ask yourself, it this is really a good idea.
I think most memory chips (whichever kind) are not daisy chainable. Mostly they use a Single-Master-Multiple-Slaves interface like SPI. You could connect multiple memory chips to the SPI bus and communicate sequentially with them. The difference between parallel and serial flash chips is their communication interface. Serial can be something like SPI. Parallel communication will send multiple bits at once over the corresponding amount of wires (mostly 8, means 1 byte). Here you need the corresponding number of free pins on your microcontroller. Though parallel interfacing is often not advisable. Especially the small microcontrollers are too slow, to profit from the faster interface. And instead of using at least 9 pins, you could also use 3 for SPI and get the same transmission speed in the end.
Yes, they can. Though it really depends on the used microcontroller and the project topology. When using something like the DFmini player, any microcontroller can play audio (from files on a micro SD card in the player). When the microcontroller should play sounds itself, you can get very different results, depending on the chip capabilities. An ESP32 for example has a dedicated I2S interface, which is build for transmitting sound to an output device.
About video: AVR based microcontrollers (or similar PICs) cannot really handle video. For example: The most, that you can get out of an Arduino Uno (Atmega328p) is a very very limited VGA signal (very small resolution, only a few colors). HDMI is out of range for any of them. Surely you would want to draw on the screen, that is connected to the HDMI interface, to build up a visual interface. I think, that is just not possible with such small microcontrollers. They are not meant for this. Though you might find some very specialized chip, that you could use in such a way. If, that chip would be way more expensive as buying multiple Raspberry Pis.
No, just as 2 32-bit computers do not make 1 64-bit computer. That is just not, how everything works. Each microcontroller can still only process 8 bit at a time out of it's own memory. Depending on the task, you may try to give them different tasks. That would give you more computation power in theory, but it's not the same as a 16-bit controller.
I assume, that you are doing this for fun or for the grind, so I will not say, that you should buy a Raspberry Pi. Though I think, you might look into the wrong way. You cannot make a truck out of parts for a mini, though many of the components work in a similar way. To get all the difficult functionality (audio, video, big storage, ...) out of your self build computer, you need to use computer parts, not microcontroller parts.
If you are happy with much less capabilities, many people in the past have build their own computers out of more basic parts as microcontrollers (down to the big range of logic gates). Microcontrollers live in the world between computers and basic logic components. They are too integrated for extending their capabilities much.