<strong>This doesn't quite answer the question but shows that the real question is for an example where all cyclic modules have finite but unbounded projective dimension.  So I will leave this here.</strong>

In https://projecteuclid.org/download/pdf_1/euclid.nmj/1118799684 Auslander shows that the global dimension of $R$ is the supremum of the projective dimensions of cyclic modules.

If a cyclic module is a retract of a direct sum of modules of finite projective dimension, then it would be a retract of a finite direct sum of such modules and hence have finite projective dimension.  So what you want can't happen: there is no such $R$.  

Added for clarity:  the projective dimension of a module $M$ is the largest $n$ such that $Ext^n(M,-)$ is non-zero. Since Ext commutes with direct sums a direct summand of a finite direct sum of modules of finite projective dimension has finite projective dimension.