They work fine for data and SMS, but it gets complicated once you need audio routing (it's rare for a modem to expose audio over USB) or waking up from low power mode to answer the incoming call. Could be done with M.2 USB modules and some dedicated controller in-between though.
Vita had a WWAN variant. What that means is, hardware wise it's trivial, business wise it's impossible. It's always has been that way. It took Apple under peak Jobs leadership couple years to sell the iPhone globally.
Any reason that can't happen now in something like the Steam Deck?