You can set that up with Foobar 2000 if your albums are correctly tagged. It's also one of the few players I've met that gives you a "middle choice" of randomly picking albums, but playing the albums themselves start to finish.

(That said, I'm one of the animals that shuffles everything in my library regardless of genre or album order anything else.)

Mine does:

  mplayer artist/album/*

Not exactly what you want, but Plexamp[1] has a "random album" mode, where it plays randomly selected albums. I really like this feature, as I find it's a good balance between random and coherence.

Before anyone screams, yes it's an Electron-based app but it's fairly lightweight as far as those go.

[1]: https://plexamp.com/ (required Plex server)

Symphony (found it on F-Droid a while ago) claims to do this but it didn't seem to work well for me.