But to answer your question, no state actor has ever had comparable capabilities. For instance, having full knowledge of your entire online activity goes a bit further than cutesy euphemisms like "cookies" or "pixels".
And, even if it weren't insanely dangerous to have this data collected (which governments too can and in fact do use), it's inherently tilted in favour of Big Tech thanks to network effects in the valuation of data. This means that publishers can never compete in ads. Ever.