The antenna is the most critical part in this system. The transceiver is the second part, as to me at least.

Baofeng's are not shortwave radios afaik

Baofengs also have terrible receive filtering. It is perfectly possible to hear no stations because you are being overloaded by something on another frequency. I tried my first SOTA activation with a Boafeng. A transmitter on another hill meant I received nothing, although stains could hear me. By a Yaesu, still cheap

yeap if you utilize "moneiability".

Compact HF/shortwave radios with transmit capability exist, but they're pretty expensive and are generally definitely portable but not quite handheld. The biggest user of such equipment is the military, so a lot of the tech is engineered for that with civilian/amateur use as an afterthought. ICOM, Yaesu, and Xiegu are probably the best known makers, and you're looking at ~$1000 as table stakes for a modern one, though there are some slightly cheaper options.

Handheld CB radios do exist and are cheap, but I've never really used them.

There are a number of compact shortwave (radio amateurs prefer the term "high frequency" or HF, in contrast to VHF, UHF) transceivers. The impracticality is from the size of an efficient antenna.

I have personally made voice (single-sideband or SSB, which is analog like AM without wasting energy transmitting a carrier or redundant sideband) contacts with a 5 watt portable (Elecraft KX2) between countries in Europe, using a meter-long whip antenna and a trailing counterpoise wire.

These radios are incredibly complex weak-signal equipment, and that is reflected in the price.

That said, it is fun. Using morse code to do the same is even more fun.

I would never rely on this for off-the-grid communication, though.

Fun, but short range. A quarter wave CB antenna is about 2.7 meters long. Without that, you're making more heat than radio.