They made two - a Flying Scotsman and a Mallard. Both were barely controllable at anything like a scale speed. At Warley one year I watched a Flying Scotsman do just that. Luckily the driver was an employee of Hornby... It was a fascinating exercise in model engineering, but, of course, they were 00 scale and not H0.
There are a couple of H0 live steam builders in Germany, but their prototypes are usually very small or even narrow gauge locos. You can see them on Youtube - look for H0 echtdampf. and make sure you use a 0 and not a O.