There are quite a lot, in natural dunes and otherwise. Grasses vary: lots of paspalum, a fair bit of bermuda in one form or another. Dr Micah Woods of the Asian Turfrgrass Center did an intereresting (though it must be said, fairly controversial) article for me in the magazine a couple of issues ago. His theory is that if you want warm season turf to play firm, you should grass with the stuff that grows naturally in those locations, surviving hot weather and frequent droughts. I haven't visited yet, but the new Laguna Lang Co course designed by the Faldo firm (I believe Paul Jansen was the project architect) is the closest to his ideal mix - it uses manilagrass (zoysia matrella) on the fairways.
I like paspalum because it tends to be used wall to wall, which means you don't have the issue of different turf with different characteristics in different areas, but it can be extremely sticky. Great when dormant, but that isn't an answer really. At Mazagan in Morocco, architect Frank Henegan, then working for the Gary Player firm, built a really excellent warm season links in some tremendous natural dunes, but the paspalum, at least when I visited, was a bit shaggy and sticky, making proper links shotmaking difficult. They may have figured out the solution by now, I don't know.
Perry Dye's Lykia Links in Turkey may be the best warm season links property I've seen. The golf course is interesting, but to my taste Perry's touch was a little heavy handed - I would really rather not see perfect natural dunes bulldozed to create a big lake around which you wrap the ninth and eighteenth holes. It's also extremely difficult - the seventeenth is a brute of a par three - so if anyone goes I'd advise an early tee time, or you'll have a very long round. Again, it's paspalum, I forget which strain.
A real problem for links courses in warm season environments is the out of play areas. There doesn't seem to be an ideal grass to achieve the waving but open links rough look. If anyone has found an answer, I'd be very keen to hear about it and see it.