So I’ve been googling the Tales of the Jedi series, and the only proper collections I could find were these two omnibuses;
http://starwars.wikia.com/wiki/Star_Wars_Omnibus:_Tales_of_the_Jedi,_Volume_1
http://starwars.wikia.com/wiki/Star_Wars_Omnibus:_Tales_of_the_Jedi,_Volume_2
As far as I can tell this should be all of them.