I have only seen them on one-handed gaming-keypads: Belkin/Razer Nostromo, Tartarus and ErgoMedia 500,
Another option would be to get a RollerMouse: they tend to have a scrollwheel just a couple cm in front of the keyboard.
There are other ways to scroll though: ThinkPad keyboards use the trackpoint for scrolling when you hold the middle button -- but they require software drivers (or X11 configuration tweaks) to not scroll too fast.
If you build your own keyboard with a community firmware such as QMK, then you could map any two keys to provide "scroll wheel" events.
I don't agree with you that a control - wheel or not - that causes scrollwheel events is as well suited for keyboards as the PgUp/PgDown keys though. In many programs the scrolling controls affect the area immediately underneath the mouse pointer — not the area that has keyboard focus.
Edit:
But there have been keyboards in GB's with a rotary encoder that you can program to what you want.
Has there been any with a
horizontal rotary encoder, like on those Corsair keyboards?
I have been looking for an off-the-shelf horizontal knob but not found any. I think that it would have to be custom-made.