No they have only made TES and FO 3.
As for an western RPG, it would be cool to have an open world one simialr to Beth's style,
Wrong, they have made a few more. I only knew of Terminator. Here is a list of what they published and or developed.
Notable games published and/or developedSee also: List of Bethesda Softworks games
Gridiron![disambiguation needed] (1986)
The Terminator (1990)
Terminator 2029 (1992)
The Elder Scrolls: Arena (1993)
The Terminator: Future Shock (1995)
SkyNET (1996)
The Elder Scrolls II: Daggerfall (1996)
An Elder Scrolls Legend: Battlespire (1997)
The Elder Scrolls Adventures: Redguard (1998)
IHRA Drag Racing (2000)
The Elder Scrolls III: Morrowind (2002)
Tribunal (2002)
Bloodmoon (2003)
Call of Cthulhu: Dark Corners of the Earth(2005)
Star Trek: Legacy (2006)
The Elder Scrolls IV: Oblivion (2006)
Knights of the Nine (2006)
Shivering Isles (2007)
Fallout 3 (2008)
Operation Anchorage (2009)
The Pitt (2009)
Broken Steel (2009)
Point Lookout (2009)
Mothership Zeta (2009)
WET (2009)
Fallout: New Vegas (2010)
Dead Money (2010)
[edit] Upcoming gamesBrink
Hunted: The Demon's Forge
RAGE
Doom 4
Prey 2
The Crossing (on hold)
The Elder Scrolls V: Skyrim