They do.However, I don't know if they even do wall furnaces any more.
https://www.homedepot.com/p/William...Cabinet-Mounted-Thermostat-2509622A/303169802
I second your evaluation of heat pumps. Only way I would consider that is if you are total electric and have no choice, and then as TM pointed out, you're going to have issues in extreme weather, they don't work well under 40 degrees.