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Not quite first class citizen, but you might like sqlx. At least it embraces the idea that writing SQL directly is in fact a good idea and helps you to do so safely.

https://docs.rs/sqlx/latest/sqlx/

LINQ? Just throwing it out there; obviously not everybody can or wants to run a C#/.NET stack, but entity framework (core) is about as close as you can get to the perl and regex integration. I think Ruby on Rails gets there too, but I'm not a RoR guy, so I can't comment.

I think linq is the closest anyone has come so far, although it is a dsl with slightly different semantics as I understand.

ActiveRecord, RoR's ORM is the complete opposite.

> a language that treats sql as a "first class" component

pl/pgSQL (or pl/sql in oracle) and variants.