I know two constructions of the chains of this sort that aren't based on explicit diagonalization.
In a recent work by James Walsh and me https://arxiv.org/abs/1805.02095 we gave an example (Theorem 3.8) of a chain of theories $T_0,T_1,\ldots$ that have even stronger property $T_i\vdash \mathsf{RFN}_{\Sigma_1}(T_{i+1})$. The theory $T_i$ is defined to be $$\mathsf{EA}+\mbox{``there is a proof $p$ of a false $\Sigma_1$ sentence in $\mathsf{I\Sigma}_2$ s.t. $\mathsf{RFN}^{p\mathop{\dot -}i}_{\Sigma_1}(\mathsf{EA})$ holds''}.$$
In the construction above one could replace $\mathsf{EA}$ with $\mathsf{I}\Sigma_1$ and sustain the same property. But in the case of $\mathsf{I}\Sigma_1$ the $T_i$'s could be defined in an alternative way that makes them very similar to your Construction 1. Let $R_{\mathsf{I\Sigma_2}}$ be the following fast-growing function $$\begin{aligned} R_{\mathsf{I\Sigma_2}}\colon x \longmapsto \sup \{ y\mid & y\mbox{ is the least witness for a $\Sigma_1$ sentence provable in } \\ & \mbox{$\mathsf{I\Sigma_2}$ by a proof with the Gödel number $\le x$}\}\end{aligned}.$$
Alternatively $T_i$'s could be defined as $$T_i\colon \mathsf{I}\Sigma_1+\forall x\; (R_{\mathsf{I}\Sigma_2}(x+i)\mbox{ is defined } \Rightarrow \mathsf{RFN}^x_{\Sigma_1}(\mathsf{I}\Sigma_1))+R_{\mathsf{I}\Sigma_2}\mbox{ isn't total}.$$
Although, the similarity, your Construction 1 seems not to work. Using some manipulations with models of arithmetic (injecting inconsistencies, and cuts in large non-standard intervals) if I am not missing anything, it is possible to construct a model $\mathfrak{M}$ of $T_0$ such that $\mathfrak{M}\not\models \mathsf{Con}(S_a)$, for some non-standard $a\in \mathfrak{M}$. But it is easy to observe that $\mathfrak{M}\not\models \mathsf{Con}(T_1)$. Assume for a contradiction that $\mathfrak{M}\models \mathsf{Con}(T_1)$. Since $\mathsf{PA}\vdash \forall x\;\mathsf{Prv}_{\mathsf{PA}}(h_{\varepsilon_0}(x)\mbox{ is defined})$, we would have $\mathfrak{M}\models \mathsf{Con}(T_1+h_{\varepsilon_0}(a+1)\mbox{ is defined})$. But the latter would imply that $\mathfrak{M}\models \mathsf{Con}(\mathsf{PA}+\mathsf{Con}(S_a))$ and hence $\mathfrak{M}\models \mathsf{Con}(S_a)$, contradiction.
I don't see how you thought to achieve the desired effect with your Construction 2. Let us consider a model $\mathfrak{M}$ of $T_1$ where we have $\mathfrak{M}\not\models \mathsf{Con}(S_a)$, for some non-standard $a$ (such a model could be constructed using injecting inconsistencies theorem). Without loss of generality we could assume that $a$ is the least non-standard number with this property. Assume for a contradiction that $\mathfrak{M}\models \mathsf{Con}(T_2)$. It is easy to see that for any $b<a$ we have $\mathfrak{M}\models \mathsf{Prv}_{\mathsf{PA}}(\mathsf{Con}_{2^{b^2}}(S_b))$. Hence we have $\mathfrak{M}\models \mathsf{Con}(T_2+\mathsf{Con}_{2^{(a-1)^2}}(S_{a-1}))$. Thus we have $\mathfrak{M}\models \mathsf{Con}(\mathsf{PA}+\mathsf{Con}(S_{a-1}))$ and therefore $\mathfrak{M}\models \mathsf{Con}(S_a)$, contradiction.
A more natural example of a descending chain that I know is based on the notion of slow consistency. For a computable function $f$ let $$\mathsf{PA}\upharpoonright f =\{\mathsf{I}\Sigma_x\mid f(x) \mbox{ is defined}\}.$$ In the case when $f$ is total but not provably total in some theory $T$ the theory $\mathsf{PA}\upharpoonright f$ from the external point of view just coincide with $\mathsf{PA}$, but $T$ might not be able to prove that $\mathsf{PA}$ and $\mathsf{PA}\upharpoonright f$ coincide. The sentences $\mathsf{Con}(\mathsf{PA}\upharpoonright f)$ are known as slow consistency sentences and were introduced by Friedman, Rathjen, and Weiermann. For rationals $q>0$ let me consider the functions $f_{q}(x)=\mathsf{h}_{\varepsilon_0}([qx])$. Let $T_q=\mathsf{I}\Sigma_1+\mathsf{Con}(\mathsf{PA}\upharpoonright f_q)$. The claim is that for $p>q>0$ we have $T_q\vdash \mathsf{Con}(T_p)$. Let me reason in $T_q$. Actually I will present a model-theoretic argument that isn't directly available in an extension of $\mathsf{I\Sigma}_1$, but with some additional care it could be formalized in $\mathsf{WKL}_0+\mathsf{Con}(\mathsf{PA}\upharpoonright f_q)$ and then transfered to $T_q$ by the arithmetical conservativity of $\mathsf{WKL}_0$ over $\mathsf{I}\Sigma_1$. First assume that $f_q$ is total, this actually is equivalent to $\Sigma_1$-soundness of $\mathsf{PA}$, and it is fairly easy to prove consistency of $T_p$ in this case. Now we assume that there is the number $a$ s.t. $f_q(a)$ is defined but $f_q(a+1)$ is not. Since we externally know that $f_q$ is total, for any given $N$ we could prove in $T_q$ that $a>N$. By taking $N$ to be large enough we prove in $T_q$ that there is a number $b$ s.t. $f_p(b)$ is undefined and $[bp]<[ap]$. Clearly we have $\mathsf{PA}\upharpoonright f_q=\mathsf{I}\Sigma_a$. We construct a model $\mathfrak{M}$ of $\mathsf{I}\Sigma_a$. If $f_p(a)$ is undefined in $\mathfrak{M}$, then we are done since $\mathfrak{M}\models \mathsf{PA}\upharpoonright f_p\subseteq \mathsf{I}\Sigma_{a-1}$, $\mathsf{I}\Sigma_a\vdash \mathsf{Con}(\mathsf{I}\Sigma_{a-1})$
and hence $\mathfrak{M}\models \mathsf{Con}( \mathsf{PA}\upharpoonright f_p)$. Otherwise, in $\mathfrak{M}$ we have a non-standard interval $[f_p(b),f_p(a)]$. Using the fact that $[pb]<[pa]$ it is easy to show that $\mathfrak{M}\models A(f_p(b))<f_p(a)$, where $A(x)$ is the diagonal of Ackermann's function. From Sommer's results it follow that there is a cut $\mathfrak{J}\models \mathsf{I}\Sigma_1$ of $\mathfrak{M}$ such that $f_p(b)<\mathfrak{J}<f_p(a)$. Clearly we have $$\mathfrak{J}\models \mathsf{Con}(\mathsf{I}\Sigma_{a-1})\;\;\;\mbox{ and }\;\;\;\mathfrak{J}\models f_p(a)\mbox{ is undefined}$$ and hence $\mathfrak{J}\models \mathsf{Con}(\mathsf{PA}\upharpoonright f_p)$.
As for your last conjecture. It is known that for any sound arithmetical theory $U$ and a recursive chain $T_i$ of r.e. extensions of $U$ it couldn't be the case that $U\vdash \forall x\;(\mathsf{Prv}_{T_x}(\mathsf{Con}(T_{x+1})))$ (this is due to Friedman, Smorynski, and Solovay; in my paper with Walsh that I mentioned earlier we give a simple proof of this (Theorem 3.6); you could find reference to the earlier works about it there just before Theorem 3.6).
Through this answer I mentioned several times construction of models of arithmetic as cuts of non-standard intervals and construction of non-standard models of arithmetic by injecting inconsistencies in other non-standard models of arithmetic. Here are the relevant references:
R. Sommer. Transfinite induction within Peano arithmetic. Annals of Pure
and Applied Logic, 76(3):231 – 289, 1995.
J. Krajíček and P. Pudlák. On the structure of initial segments of models of arithmetic. Archive for Mathematical Logic, 28(2):91–98, 1989.