How come nobody came up with an LSP that can perform this, all this time ?

I've developed a small tool[1] that has helped me for the same problem, but in Python. Basically just uses simple parsers to attempt to find a definition wherever is sensible. Adding a Ruby module should not be too difficult, but it would probably be trickier than Python to get some good enough results

[1] https://github.com/federicotdn/irk

https://shopify.github.io/ruby-lsp/rails-add-on#go-to-defini... ?

Because it's an unsolvable problem without static type annotations and as far as I'm aware Ruby doesn't have a good solution for those yet (or if they do nobody uses it).