I am not aware of a single, comprehensive list. I've seen this type of information for specific provinces/municipalities in 外事志 editions of gazetteers. These volumes will often list when the consulate opened, when they closed, who the consul general was, etc.
I am aware of consulates in the following locales: Shanghai, Nanning, Kunming, Shenyang, Urumqi, Kashgar, Tacheng, Altai, and Yining. But I'm sure there are others.