Never seen one either... but I have heard of a Weeden with a heater powered through the tracks. Went on Frank's site and found this:
http://weedensteam.com/mobile.html#loco1The Weeden No.1 Steam Locomotive was introduced in 1931 and produced into 1933, 12" long X 2 1/2" wide and 4" high. This is an 0-gauge loco that runs on standard track designed to pull cars made by other manufacturers. A similar electrically heated No.2 was designed for The Steam - Electric Company, 400 watts of power was required to heat the water, which was impractical so the project never really got off the ground..