While OpenPGP and X.509 mostly share the same cryptographic algorithms, they have completely different representations of the key material. GnuPG (or to be more specific,
gpgsm implements S/MIME and X.509 but not OpenPGP and is also part of GnuPG) does not "speak" X.509, OpenSSL does not support OpenPGP.
While you could well extract the numbers forming the keys and then construct a new key of the other format, these would still seem like different keys: due to the different protocols you cannot read messages encrypted in the other system, you cannot verify signatures issued by this. Even the keys are not obviously comparable, key identifiers are constructed differently, and finally the two systems share different trust systems.
To wrap up: theoretically you could construct a new key (not really convert it, as meta information is lost and other information is missing). There is no actual use in doing so, thus nobody cared about writing proper tooling for the process.