James Tyler Variax might be what you're looking for.
You could use an Ebow to simulate violin, cello, and synth parts on any guitar.
I totally agree; I use two synth-equipped guitars, one with a "built-in" Graphtech synth driver and the other with the old GK-2 magnetic p/u, both thru a "vintage" Roland GR-30. Tried the new GR-55 but didn't like it so I'm sticking with vintage. It's a great way to get those other sounds you're looking for & once you've tried it you'll be hooked. On my setup I use a balance pedal to shift between the guitar & synth sounds & usually use two separate amps.If I'm understanding your orig. question you are looking to be able to create sax, keyboards, horns, violin, cello, etc. tones without effects. The Roland Guitar Synth would be the best, and most convincing way to do that, especially if your wanting to do keys, and horns. I don't know if you would consider the Roland unit using effects, but even an Ebow is a kind of effect, a great one for creating sustained string type tones though. A Volume pedal, or your pinky on the vol control of a guitar will let you mimic String type note swells, but thats about it. I saw Jennifer Batten play w/Jeff Beck - they had no keyboard player on that tour, Jennifer did all the keyboard and horn sounds with her guitar and it was impeccable sounding, she nailed it all evening. Only at the encore did she change the Roland equipped guitar for a straight-up strat and trade like w/Jeff. The latest generation Roland guitar synth has been, as expected, improved on over the early versions. good hunting on this tone quest.