I think python has exactly that with WSGI. With this protocol you make a module containg an "application" function object which is called by the server when a request arrives. On module load time you can do any required setup work.
(On my systems, by default there is some reuse of the loaded module, so you can leak state between requests. However it should be possible to avoid reused processes).
I know it can result in a lot of "extra work", but I really feel like most of the pain of that could be abstracted away by the runtime.
Nginx/apache setup a PHP process before the request comes in, so why couldn't you expose that point to your language and let the programming language do work before that point, even "snapshot"ing it to avoid re-doing that work for each request?
It just seems like there are better ways of solving this problem, because an event loop is such a "hammer" solution to the problem.