In relativistic physics, both atomic collapse in a heavy nucleus and Hawking radiation in a black hole are predicted to occur through the Klein tunneling process that couples particles and antiparticles. Recently, atomic collapse states (ACSs) were explicitly realized in graphene because of its relativistic Dirac excitation with a large "fine structure constant." However, the essential role of the Klein tunneling in the ACSs remains elusive in experiment. Here we systematically study the quasibound states in elliptical graphene quantum dots (GQDs) and two coupled circular GQDs. Bonding and antibonding molecular collapse states formed by two coupled ACSs are observed in both systems. Our experiments supported by theoretical calculations indicate that the antibonding state of the ACSs will change into a Klein-tunneling-induced quasibound state revealing deep connection between the ACSs and the Klein tunneling.