No, and we’re not aware of any insurance which does, and we’ll explain why. Airlines cover missed flight connections themselves, but only if your flights are on the same e-ticket. If your delivering airline is late, they must, under IATA regulations, liaise with the onward airline to get you on another flight. If this results in an extended delay, they also must provide refreshments and even hotel accommodation if necessary. If you use separate tickets, then you lose all rights to have any airline do anything to help you.
Sometimes it does work out much cheaper to use separate tickets, but if you do take this risk, ensure you book a minimum of 4 hours between flights, to try to mitigate any delays which may occur due to weather or mechanical breakdown.