They only ways to do this would be to use mods, there was a mod I saw a while back that stored your character on the server, never used it myself though.

On my server I use a dedicated portal hub world (using the Valheim Multiverse mod) that connects to the rest of the servers, so there is no way to directly connect each world outside of the hub portals which stops players from transporting metal/ore by dumping it into a single player world briefly.