Have you heard of the "Radeon Pro SSG" ??

It must have failed because I never heard of an update to this GPU. But AMD definitely made a GPU with 4x NVMe SSDs attached to the GPU.

You are able to use GPU Direct Storage to communicate between the GPU and PCIE storage devices. It's nice, but it's not typically as performant as one would like, in comparison to the onboard memory.

https://docs.nvidia.com/gpudirect-storage/

https://github.com/microsoft/DirectStorage/tree/main