Does a port expander with built-in optocouplers exist?
I don't think such a monolithic (or single package) device exists, and if it did it would be an off-topic shopping question. 

You should have resistors in series with each of the LEDs on the optocoupler inputs, by the way, otherwise you are depending on the outputs to be weak enough not to overdrive the LEDs. 



A better design approach might be to use a chip such as the ISO1541 to isolate the I2C and drive the LEDs directly from the port expander chip. The Microchip part is better at sinking current than sourcing it, so it's better to connect the LEDs between Vcc2 and the GPIO (with a series resistor, of course) than to GND. 



So Vcc1 would be the 3.3V from your Pi and Vcc2 would be (or would be derived from) your LED supply on the other side of the galvanic isolation. This has the advantage that only 4 wires including the two power wires are directly connected to the Pi, everything else is isolated.