I remember years ago having an apple keyboard that had a usb-a female on the side for the mouse. It wouldn't boot up with my mouse though, I suspect keyboard+mouse drew too much power. I had to run the mouse separate.
Hopefully something decent shows up in the market that mixes the best of mechanical keyboards with the very basic user experience of using a laptop.
Most keyboards are designed for low speed USB links, not even for USB 2.0. Having to replace the cheap cable normally used by keyboards with an expensive cable, at the great cable length that is desirable for a keyboard, would raise the cost with negligible benefits.
Many PCs have additional USB 2.0 ports for slow peripherals, i.e. mainly for keyboards, mice or graphic tablets. A keyboard with a USB hub suitable for a USB memory would need to use a USB 3 port on the PC, occupying a port that might have been better used for other peripherals, while leaving unused the slow USB ports.
In general though the more functionally useful a keyboard would be the fewer options you'll find. I think a large part of it is many buyers are more worried about maximizing the aesthetics of the keyboard rather than creating a swiss army knife of a keyboard so that's what is easier to find.
There is no hub. If it was passthrough, the cable would be fixed (or use a non-standard connector), with two USB plugs at the host end: one for the keyboard and one for the passthrough. Some older gaming keyboards have such passthrough for USB ... and audio jacks!