They do, and they have been around for centuries. I think the term is thermopile and people used to power their radios with them before they were wired for electric.
Current term would be thermo electric couple. They keep your house from blowing up if the pilot light goes out on your water heater.
You can buy fans powered by the heat of your stove I looked at buying one a couple of years ago.
I should have been more specific — I was referring to the more efficient thermoelectric devices discussed in the article. Rather than powering a radio from an oil lamp, I wanted to power electric lights, a radio, etc. from the wood stove. The older tech just wasn’t cost-effective.