Are there materials that convert heat directly into electricity?

You can't convert heat itself directly into electricity because you can't create or destroy energy, but you can do useful work with it converting it from one form into another. The forms which energy always converts to eventually are the more disordered forms of energy and heat is one of the most disordered forms.

You can get useful energy, useful electricity, from heat flowing from somewhere which is hot to somewhere which is cold. We've been doing that for hundreds of years, it's essentially what a steam engine does. You're moving heat from a hot fire to the cold outside world. You can do this just by putting two different metals together, this is called a thermocouple. That produces minute amounts of energy, but it is quite useful for measuring temperatures. You can get much more energy out using semiconductors, essentially you build a diode and the hot electrons can go through diode - then they have to flow all the way around the circuit and back to the other side. As they flow around they can do work.

So you can generate electricity through flows of heat but not from heat itself.