[yetanotherloss]

They do, Google had/has one in the Dalles in Oregon next to the dam and there are several in line Canada and Finland.

Part of the problem is consistent humidity management, but the other is that air, even really cold air, isn't dense enough to move specific heat as effectively as the same volume of a denser working fluid.

For a practical example in the other direction, look at combined cycle gas turbines which use heated air for the primary turbine and the recapture as much denser steam for the secondary.