Extensive deployment of heterogeneous small cells in cellular networks results in ultra-dense small cell networks (USNs). USNs have been established as one of the vital networking architectures in the 5G to expand system capacity and augment network coverage. However, intensive deployment of cells results in a complex interference problem. In this paper, we propose a distributed multi-domain interference management scheme among cooperative small cells. The proposed scheme mitigates the interference while optimizing the overall network utility. Additionally, we jointly investigate OFDMA scheduling, TDMA scheduling, interference alignment (IA), and power control. We model small cells' coordination behavior as an overlapping coalition formation game (OCFG). In this game, each base station can make an autonomous decision and participate in more than one coalition to perform IA and suppress intra-coalition interference. To achieve this goal, we propose a distributed joint interference management (JIM) algorithm. The proposed algorithm allows each small cell base station to self-organize and interact into a stable overlapping coalition structure and reduce interference gradually from multi-domain, thus achieving an optimal tradeoff between costs and benefits. Compared with existing approaches, the proposed JIM algorithm provides appreciable performance improvement in terms of total throughput, which is demonstrated by simulation results.