A Hall effect sensor works by running a constant current in one direction while measuring the potential difference in a different axis. The keyboard’s PCB needs to be able to register a range of values, not simply binary on-off. Regular keyboards aren’t equipped to do that.
Typically in an HE keyboard, the sensors are mounted to the PCB. The “switch” itself is just a neodymium magnet at the end of a POM stem, in a polycarbonate housing with a spring.
There are other kinds of magnetic switch that have historically been used in keyboards – e.g. Fujitsu used reed switches in the 70s – and in theory you could probably build them into a Cherry MX-compatible package. But they wouldn’t provide many of the benefits of HE keyboards, besides smoothness and reliability, and I’m not aware of anyone doing it.
But it’s a niche (competitive gamers and mechanical keyboard enthusiasts) with deep pockets, to whom “buying a new keyboard” is basically no barrier at all.