Let $K=[a_1,b_1]\times\dots \times [a_d,b_d]$ be a closed rectangle in $\mathbb{R}^d$ and suppose that $K\subset\cup_{i=1}^n R_i$, where each $R_i$ is an open rectangle. In his measure theory book Cohn writes:
$K$ can be decomposed into a finite collection $\{K_j\}$ of rectangles that overlap only on their boundaries and are such that for each $j$ the interior of $K_j$ is included in some $R_i$.
If $\overline{R}_i$ denote the closure of $R_i$, then $K\cap\overline{R}_i$ is a closed rectangle. For each $1\leq m \leq d$, let $P_m$ denotes all the left and right $m$th coordinates appearing among the $K\cap\overline{R}_i$ $ (1\leq i\leq n)$. Then $P_m\subset [a_m,b_m]$, and if we order the elements of $P_m$ from left to right we obtain a partition of $[a_m,b_m]$ into a finite collection if closed intervals that overlap only at the boundary. Let $\{K_j\}$ denote the finite collection of all closed rectangles in $\mathbb{R}^d$ which are formed by taking $d$-products of those closed intervals (by choosing one closed interval in the partition of $[a_m,b_m]$ for each $m$). These rectangles intersect only at their boundaries and
$$K=\cup K_j$$
Indeed if $x\in K$, then $x_m \in [a_m,b_m]$ for each $m$, and so $x\in K_j$ for some $j$. Conversely if $x\in K_j$ for some $j$, then $x_m \in [a_m,b_m]$ for each $m$ and so $x\in K$.
Am stuck at proving that the interior of each $K_j$ is included in some $R_i$. It would suffice to show that $K_j\subset K\cap\overline{R}_i$ for some $i$. But I don't see how to show it.
Any help is greatly appreciated.
Use the $\sup$ norm for convenience.
For $k \in K$, let $\delta(k) = \sup \{ r | B(k,r) \subset R_i \text{ for some } i\}$. Since the $R_i$ are open we see that $\delta(k) > 0$ for all $k$.
Let $\delta= \inf_{k \in K} \delta(k)$, it is straightforward to show that $\delta>0$ and for any $k$ there is some $R_i$ such that $B(k,\delta) \subset R_i$.
Let $l_i = b_i-a_i$ and take the rectangles $$\Delta_{n,k_1,...,k_d} = [a_1+{k_1 \over n} l_1, a_1+{k_1+1 \over n} l_1] \times \cdots \times [a_d+{k_d \over n} l_d, a_d+{k_d+1 \over n} l_d] $$ with ${1 \over n} < \delta$. Note that for each $n$ we have $K = \cup_{k_i=0,...,n-1} \Delta_{n,k_1,...,k_d}$.
Since the center of each rectangle lies in some $R_i$, we see that each rectangle lies in some $R_i$.
Addendum:
To see why $\delta>0$: Suppose $\delta=0$ then there is some sequence $k_i$ such that $\delta(k_i) \to 0$. Without loss of generality we can assume $k_k \to k$. We know that $\delta(k) >0$ and hence for $k_i$ sufficiently close to $k$ we have $\delta(k_i) \ge {1 \over 2} \delta(k)$ which is a contradiction.