Technically, you can become a Martyr. It's just the Hero Class with a fancy roleplay name attached to it though. I also can't remember the conditions for it or if it's even still there since I stopped playing my Priest. Given how much you can get away with, you can also roleplay yourself leading the unwashed masses as if they were the troops under your command. Cid did that during his various crusades and inquisitions.
Otherwise, I'd say the obvious reason is the same most others have said: game mechanics won't allow it.
