I am not sure this is what you are looking for, so please leave a comment:
class StubTest extends PHPUnit_Framework_TestCase
{
    public function testChainingStub()
    {
        // Creating the stub with the methods to be called
        $stub = $this->getMock('Zend_Db_Select', array(
            'select', 'where', 'limit', 'execute'
        ), array(), '', FALSE);
        // telling the stub to return a certain result on execute
        $stub->expects($this->any())
             ->method('execute')
             ->will($this->returnValue('expected result'));
        // telling the stub to return itself on any other calls
        $stub->expects($this->any())
             ->method($this->anything())
             ->will($this->returnValue($stub));
        // testing that we can chain the stub
        $this->assertSame(
            'expected result',
            $stub->select('my_table')
                 ->where(array('my_field'=>'a_value'))
                 ->limit(1)
                 ->execute()
        );
    }
}
You can combine this with expectations:
class StubTest extends PHPUnit_Framework_TestCase
{
    public function testChainingStub()
    {
        // Creating the stub with the methods to be called
        $stub = $this->getMock('Zend_Db_Select', array(
            'select', 'where', 'limit', 'execute'
        ), array(), '', FALSE);
        // overwriting stub to return something when execute is called
        $stub->expects($this->exactly(1))
             ->method('execute')
             ->will($this->returnValue('expected result'));
        $stub->expects($this->exactly(1))
             ->method('limit')
             ->with($this->equalTo(1))
             ->will($this->returnValue($stub));
        $stub->expects($this->exactly(1))
             ->method('where')
             ->with($this->equalTo(array('my_field'=>'a_value')))
             ->will($this->returnValue($stub));
        $stub->expects($this->exactly(1))
             ->method('select')
             ->with($this->equalTo('my_table'))
             ->will($this->returnValue($stub));
        // testing that we can chain the stub
        $this->assertSame(
            'expected result',
            $stub->select('my_table')
                 ->where(array('my_field'=>'a_value'))
                 ->limit(1)
                 ->execute()
        );
    }
}