The simple answer your entire query is the fact that PCIe is not the bottleneck. The bus that connects your storage to the CPU is faster than any storage we have these days (ignore sata it doesn't count). There is no innovation to be had with your suggestion, just complexity.
Now, there is something related to your suggestion. Graphics cards are exploring / have explored having storage communicate with them directly because of the latency in loading assets into the CPU then sending them to the GPU. This is where progress is being made on optimizing communication between storage and host.