@acresverde --
Size may be a problem, but with a price range up to $40,000 a truly capable all-horn setup is absolutely within reach. Remember, all-horn items from Cessaro and the likes are steeply priced, and oftentimes all-horn speakers represent a manufacturer’s statement products, for no other reason really than keeping them out of hand from any but the most well-paid. There are all-horn main speakers like Volti Audio’s Vittora’s (around ~$20k sans Gregs DR subs) or Simon Mears Audio Uccello’s (£10,500 direct sale from Simon, but being a busy man at present sadly doesn’t take orders), and couple either of those with the likes of a pair of Danley Sound Labs tapped horn TH-50 (unaware of their price, but with named main speakers would come in under $40k), or the front loaded horns like JTR Orbit Shifter LFU (independently tested here: https://www.data-bass.com/data?page=system&id=123):
https://www.danleysoundlabs.com/products/subwoofers/tapped-horns/th50/
http://www.jtrspeakers.com/orbit-shifter-lfu.html
These are all pre-build solutions (though you would need amp + digital XO for the TH-50, but they would still fall within the price ceiling), but don’t mistake the horn subs mentioned for being blow-your-roof-off capable only; they offer excellent bass quality all around, and will provide effortless performance for any purpose and at SPL's few would be able to endure (not meant as a quality in itself, but that it grants you effortless presentation at any SPL). In combination with all-horn speakers like the ones mentioned you’d be in for something sonically quite special.
Then there’re DIY horn sub solutions that I mentioned earlier in this thread, and couple those with DIY all-horn main speakers from John Inlow and you’d come in under $10k for the whole shebang.
OP should realize that he is definitely going to have to settle for a hybrid horn speaker in his price range. A full range horn by the very nature of its size and price is not likely doable for him. Also, some of the brands thrown around in this thread like Cessaro are going to be non starters as well due to price.
Size may be a problem, but with a price range up to $40,000 a truly capable all-horn setup is absolutely within reach. Remember, all-horn items from Cessaro and the likes are steeply priced, and oftentimes all-horn speakers represent a manufacturer’s statement products, for no other reason really than keeping them out of hand from any but the most well-paid. There are all-horn main speakers like Volti Audio’s Vittora’s (around ~$20k sans Gregs DR subs) or Simon Mears Audio Uccello’s (£10,500 direct sale from Simon, but being a busy man at present sadly doesn’t take orders), and couple either of those with the likes of a pair of Danley Sound Labs tapped horn TH-50 (unaware of their price, but with named main speakers would come in under $40k), or the front loaded horns like JTR Orbit Shifter LFU (independently tested here: https://www.data-bass.com/data?page=system&id=123):
https://www.danleysoundlabs.com/products/subwoofers/tapped-horns/th50/
http://www.jtrspeakers.com/orbit-shifter-lfu.html
These are all pre-build solutions (though you would need amp + digital XO for the TH-50, but they would still fall within the price ceiling), but don’t mistake the horn subs mentioned for being blow-your-roof-off capable only; they offer excellent bass quality all around, and will provide effortless performance for any purpose and at SPL's few would be able to endure (not meant as a quality in itself, but that it grants you effortless presentation at any SPL). In combination with all-horn speakers like the ones mentioned you’d be in for something sonically quite special.
Then there’re DIY horn sub solutions that I mentioned earlier in this thread, and couple those with DIY all-horn main speakers from John Inlow and you’d come in under $10k for the whole shebang.