I'm thinking the same after failing to find a device that match.
Here in Hungary we traditionally used thermostats that switched the gas furnace directly. 20 years ago, these thermostats (mostly mechanical, later electronic) switched the 230V power supply of the furnace. That was 2-3 amps most. Later, 15 years ago, they still switched 230V AC, but that was a control signal, not the real power supply. They choose to use the mains, because this way the voltage drop was not significant, you had 20-40 meter long cables, using low DC voltage on those long lines were problematic. So I think they went the easy way. So you don't really need heavy duty relays. My programmable thermostat has a max 8 Amp relay (2A inductive), that switches the furnace, and it keeps operating on a pair of quality AA batteries for 1,5 years.
Today's modern Gas furnaces has both low (24V) and high voltage (mains) control inputs. Mine has one low voltage control input that goes to the master bedroom, it is a thermostat and the main control interface of the furnace controlling the high temp circuit (55C water, radiator heating of the 4 bedrooms) and two high voltage inputs of which one is used for the low temp circuit (40C water, underfloor heating of the rest of the house. I wanted to replace the latter.
I could leave the thermostat on the wall and use the second mains input for a z-wave relay and use Heatit Z-Temp2 thermostat somewhere else. I can program the furnace to use the 2 mains input with an OR operator for switching ON the low temp circuit, so I can switch on the heating with Z-wave thermostat or remotely from HE, but I can not switch it off if the "dumb" thermostat is in heating mode. The furnace will heat if any of the two mains input is HIGH. 
