So I did some quick research. And in fact there are. Just for my own memory and for anyone else who might care:
Australia Map Pegged Puzzle
Wooden Canada Map Puzzle
Wooden Map Puzzles (for countries including the US, China, France, Italy, UK, Spain; the state of California by county; and regions of the world including Africa, Central America, Europe, Asia, and South America. Custom maps can also be ordered.)
Wooden map of Mexico puzzle looks like it's in the same style as the ones above.
Puzzle Map: Australia (map is from Bangalore and includes NZ for some reason)
I'm still looking for links for places like Brazil, India, Indonesia, and the Russian Federation. But it's a start.
John Spilsbury apparently invented the jigsaw puzzle by making map puzzles.
Spilsbury created the first puzzle in 1767 as an educational tool to teach geography. He had affixed a world map to wood and carved each country out to create the first puzzle. Sensing a business opportunity, he created puzzles on eight themes - the World, Europe, Asia, Africa, America, England and Wales, Ireland and Scotland.I imagine his puzzles are worth quite a lot nowadays.