No, they didn't. The closest Marx came to this would have been their very short, plastic, 4 whee, diesel industrial switchers. The only other item, and this neither a tunnel motor nor a boxcab, is a prototype for a GG1. There were three made and all very short models. Eric Matzke has a picture of the three in his book Greenberg's Guide to Marx Trains.
As for modern Marx - they did make a prototype of a 4-4-4 PRR but it never made it into production