Do we have any historical records of any wheel-turning monarchs?
No. There are no historical records that would satisfy the standards of modern historiography for the existence of a cakkavatti. The textual sources that describe such figures (endowed with the thirty-two marks of a great man, possessing the seven treasures, and ruling over the entire world) belong to the realm of religious and mythic literature rather than empirical history. Historians wouldn’t treat these accounts as documentary evidence but as symbolic narratives expressing ideals of kingship and cosmic order.
Buddhist texts do sometimes apply the title cakkavatti to powerful rulers like Asoka, but this is a retrospective idealization, not a record of actual possession of the seven jewels or world dominion. What we have are literary tropes and didactic models, not chronicles of real emperors ruling the entire earth.
I did discover that part of the story about a capital city surrounded by a series of walls is very similar to the story told by Herodotus about the city build by the first king of the Medes. The Medes were related to the Persians who had moved into the mountains of modern day Iran during the time of the Babylonian and Assyrian kingdoms in Mesopotamia. So … the story perhaps descends from that region of the world originally. Herodotus’s story is also very similar to the Buddhist story about the first king.