I think there isn't so much practical applications that require combined mechanical/electrical work. Usually they just have mechanical engineers do the mechanical aspects and electrical guys do the electrical aspects. There are some applications that require both, like hard drives as a simple example, which involve a spinning magnet as their principle component. But for most applications it seems like the electrical/mechanical components are handled rather independently.
Edit: Obviously it takes a lot of time to specialize in mechanical OR electrical engr., so if you try to educate somebody in both, it's a little bit impractical. I would guess that's another part of the reason why you don't see these combined programs.
As astronuc said there is "engineering physics" which may be what you are thinking. However, this major doesn't exist at all schools. On the other hand, you can always just study physics, which involves both mechanical and electrical topics, if not as much of an engineering slant. Arguably, engineering and physics (and especially, their education) aren't that different. You can also go into plasma physics, which involves concepts from fluid dynamics, particle motion (mechanical aspects) but also heavy concepts from electrical and magnetic effects.