Claude Makelele is closest, winning the Champions League with Real Madrid and the 3 English trophies with Chelsea, however he wasn't part of the France squad in 1998 but did reach the World Cup final in 2006.
i don't believe there is such a player but Steve finnan has won all but the premiership
giovanni van brockhurst, scottish league with Rangers, Premiership with Arsenal and Champions league with Barcelona. Steven. Glasgow.