The Standard Gauge Lionel Hiawatha and Commodore Vanderbilt are set up that way, but I'm not aware of any 0 gauge locomotives except for tank engines - and all the tank engines I can think of just have a whistle and bell, not full sound.
If you are only looking for the sound to come from the engine rather than the tender, I would think that someone skilled in installations could move the speaker from the tender to somewhere inside the engine, while leaving the electronics in the tender. If everything has to be in the engine, that would be harder because only a big articulated might have enough room for the electronics. The Standard Gauge engines are big enough to fit TMCC electronics and a nice big oval speaker in the engine without using the tender at all.
