I wonder if there is a digital speaker can be plugged into a digital output on a sound interface
Like others have replied, there are plenty of loudspeakers with digital input options. I am sure there are suitable option available, which will match Your price range and preference of digital output type.
Just Google "_location_preference_ loudspeaker with _digital_input preference_ IN" and you should find plenty of options.
(eg. Desktop loudspeaker with SPDIF IN)
However, in order to speaker to work, there must be a Digital-to-Analog conversion, sooner or later. There is no such thing as Digital amp and no one expects to listen "0"'s and "1"'s directly, would you agree? :)