A company called Luminary made MCUs with both Ethernet MAC and PHY in one package, however they accomplished that by co-packaging two individual chips.
TI has since acquired them, not sure if they discontinued those particular parts in their entirety. They did discontinue some that we were using, sadly, with no pin-compatible replacements.
The IC processes required for the analog PHY functions and high density lower power digital are generally not well compatible. You'll see a somewhat similar separation of higher voltage/current I/O and of EEPROM memory, for similar reasons.
Multi-chip packages (outside of the memory arena) have become more popular with the relatively recent introduction of chiplets, so we could see more of this kind of thing, though wired Ethernet may not be as compelling as it was some years ago.