Actually, there are a LOT of 'collector's edition' versions of physical games from publishers like Limited Run, Super Rare, and iam8bit. Check out this Cuphead package, for example:

https://www.iam8bit.com/collections/collectors-editions/prod...

Now, for many of us, they are prohibitively expensive, but they are available.

You are right. They are indeed very expensive.

That particular example is above the typical price, I think, but they're certainly called collector's editions for a reason. It's a shame, but I suspect the majority are purchased and left unopened.