These exist, but are quite rare in the U.S. Check out air-to-water heat pumps from Sanden[1] and Chiltrix[2]. I seriously considered this for my new house (still in planning stages), but at double the cost of an air-to-water heat pump system it didn't make the cut. If they were more common, the cost would come down, but I think it's a chicken/egg thing at this point.
Of course, water-to-water (geothermal) heat pumps have been in the States for decades, and if I recall there are still federal tax credits available for them, but they're even more expensive and probably only make sense in very cold climates.
[1] https://www.smallplanetsupply.com/sanco2-for-combi-systems [2] https://www.chiltrix.com/air-to-water/