That does actually exist, it's called a toroidal transformer. Instead of a tube shape though it's a donut shaped piece of ferrite with the primary and secondary wound one on top of the other. The different types have different use cases though, as far as I remember the toroidal ones have higher leakage current. Marco Reps has a good video on his YouTube channel where he explains some of the differences if you're interested, although he mainly focuses on what's important for precision electronics.