It's easy to shrug off questions like this, placing them in the category of "if it were feasible, someone would obviously be doing it already", but it's still interesting. Having read a pretty extensively about how steam locomotives work, and some additional reading about steam power in general, it's interesting to read this article and catch small windows in to the overall progress of steam during the era. For example, reading the remarks about closing the steam circuit reminds me of the progress made in condensate and heat recovery developed in steam power at the time. Really remarkable to see that in something as small as a car.
As an academic exercise, I think it'd be really cool to develop a "steam powered auto challenge". Of course, no one is going to get behind it because steam is not a green technology, but sometimes we can learn important lessons from the past. Working on a completely unrelated technology and studying its progress can teach us lessons about the development of current technologies.