People are doing that. If you see those PCIe "SSDs", most of them are effectively multiple SSD's + controller on a card, combined with either software or hardware RAID-0... E.g. some of the OCZ cards at least show up as 4 individual units under Linux, while the Windows drivers at least by default will show it as one device.
But yes, it is expensive if you measure per GB. If your dataset is small, though, and you are more interested in cost per IO operation, they can be very cheap.
I've built boxes for computationally intensive workloads that use these PCIe SSD cards. The IO is STUPID fast, considering you're bypassing the SATA chipset and are limited only by PCIe speeds.
You don't get a large amount of space (I believe the cards I installed were only 64 or 128GB, but this was ~4 years ago), but for small datasets that you need extremely fast access to, they get the job done.
We have a few 480GB ones, and yes, they are stupid fast - we're getting 1GB/sec writes easily. You can get multiple TB now if you can afford it (can't justify it for our uses...)
But yes, it is expensive if you measure per GB. If your dataset is small, though, and you are more interested in cost per IO operation, they can be very cheap.