I understand exactly what you're talking about. Pink Floyd - Dark Side of the Moon, ran the songs with no interruption between songs. Excellent album, by the way! I don't see any option to adjust delay on my Note 4 either. Since the tracks are all separate files, hence the delay, probably the only way to do what you want is to create a gigantic mp3 file on your PC by joining the songs in a music editor. I'm not sure the phone will play a file that large, though. Hmmm, maybe I'll try it with DSotM one day. Hopefully, someone else will come along with an idea for you.
EDIT... I just joined all the songs on side two of DSotM and created a mp3 file with the size of 34megs; 192kbps. It plays fine on my Note 4. Took me all of 10 minutes in Cool Edit Pro. It's an old program and non-existent anymore since Adobe bought them out years ago and turned it into Adobe Edition. Just wanted to let you know it's possible to do this.