I think You're looking for something called a "tri-mode HBA." They run about $200 on ebay and as you mentioned- the m.2 to u.2, u.3, etc is passive (minus power)
If you want to get super hacky, if the SATA backplane is direct instead of multiplexed, passing a single lane of PCIe over SATA is possible. Probably limited to pcie 2.0 though. And they're absolute abominations, real frankensteins monster stuff.
Edit: I mean the physical layer. Obviously you can't control a pcie device with a sata controller, but the cable will do a single wide pcie link.