In the past there were some Z-Wave modules from Qubino, such as the Qubino 1D Relay. I still have three of them, and they allow the use of a dry contact relay while also connecting a magnetic sensor to work as a binary sensor.
Qubino was acquired by Shelly, and currently Shelly does not seem to have a single module that performs these two functions.
Does anyone know of a Z-Wave module with this capability?
The Zooz ZEN58 has a dry output and a dry input, but operates on 9-40VDC. They also have a number of other variants depending on your needs: https://www.getzooz.com/smart-relays/