> ... never heard of oil or gas being burned to drive a generator which in turn heats the home using a heat pump.
I don't think the losses during conversion are the problem. Costs are.
I'd guess until now energy prices simply haven't been high enough to apply this concept to small scale (single home), because compared to just a oil/gas furnace (using relatively cheap fossil energy) the system consists of more and higher-tech components so it costs more to buy and because overall it's a more complicated system it'll likely be more expensive in maintenance as well.
On the large scale you can now read about ideas like replacing gas furnaces at home with heat pumps and instead burning the gas in industrial scale power plants (to generate the required electricity) and also use the "waste" heat.