Onboard video, sure. Onboard modem, never, because the line interface differs by country. What does exist is boards that have the modem engine onboard, with the line interface circuitry on an AMR or CNR riser card.
E.g. ECS K7S7AG aka PC-Chips M847 comes with an onboard Xabre 200 graphics unit (w/ 64 MBytes of dedicated RAM) as well as - with some vendors - a CNR modem card right out of the box.