If I'm not mistaken there has been a fairly recent Chinese produced HO live steam locomotive, but it wasn't very scale looking and had a clear glass bulb for a tender, that was the actual boiler. Many years ago there was a production run by a regular manufacturer (Hornby) , of an English prototype locomotive that was really well done to scale, but I think it often had issues with getting it to run properly, but when it did, it was impressive.
Here is somebody's webpage dedicated to their experience with them:
https://www.scottpages.net/ReviewOfLiveSteam.htmlHope that helps some.