Depends on the algorithm, I suppose? Many algorithms that consume randomness in a way that is performance sensitive, like audio or image synthesis, are going to be processing streams of data and in that context being able to just stream random bits out of a cache line and into registers and through operations without making a bunch of calls is going to produce some advantages, even if a modern out of order processor can hide a lot of that. TBH I doubt the function call overhead even matters so much as the overall structure being something that will approach the maximum throughput of your hardware.

It's a big advantage that the internal state of some PRNGs is very small, but you're still mutating the internal state, which means now you're creating dependency chains and dirtying a cache line, etc. Someone who's actually built chips before would know far better than me whether all of that adds up to a 1% hit to throughput or a 10% hit, though.