Why are there no FPGAs with built in USB interfaces?

A general purpose USB interface really needs software in play, it is HARD to do as a FPGA style FSM.

USB physical layer is also 5V, and modern processes are pushing the upper limit even at 3.3V, there are basically no 5V capable FPGA parts using modern processes.

Further, particularly for relatively high speed IO over cable interfaces (Like say 480Mb/s) the cable equaliser and driver are essentially in some sense analogue, so you need a process node that supports 5V analogue design AND 1V high density in something like 28nm or such for the core.

First of all, there ARE FPGAs with USB interfaces, so your premise is flawed. However, they tend to be high-end SoC devices where the tight integration is worth the premium cost.

For low-cost, low-end systems, it usually makes more sense to marry a USB microcontroller with a separate low-end FPGA or CPLD. Such systems tend to have a large software component anyway, so using dedicated hardware for both the CPU and the USB is more efficient.

The USB PHY interface is not integrated into FPGAs because modern FPGA processes can handle 3.3V at most (sometimes with limited 5.0V I/O compatibility), but USB PHY requires full 5.0V input and output.