Somewhere on the Web there's a spectacular photo of a stat-based surround system with the surrounds built into the wall much as you're suggesting. They're in little coves that are lit, in case someone else remembers where it is. Otherwise, if you do some searching it may show up, and from there you could contact the author.
That being said, while there are some very good in-wall or architectural systems, they aren't paper thin -- you need some room for the enclosure and fill. You can download CAD drawings of the Wisdom Audio in-walls here, they should give you an idea of the kind of depth required. There are also enclosure guidelines in the spec sheets for some planar drivers, e.g., the BG Neo series, with some recommendations on fill. You might also check out the Steinway-Lingdorf and some other thin on-wall systems; however, the ones I'm familiar with use heroic engineering (electronic cancellation in the case of the Steinway) to minimize reflections, and aren't anything like paper thin.
Of course, you are going to give up some sonic purity if you do this. On the fronts, you'll also lose the sense of depth from the reflected rear wave, and the controlled lateral dispersion of the dipole radiation pattern. One way to address the former would be to use digital reverb. That's what the rear wave is, anyway, minus the ability to fine tune it.
Fronts should be mounted flush with the wall to eliminate those early front wall reflections. Sides and rear, not critical.
You will get early sidewall reflections with this setup, so you might want to consider placing diffusers at the side wall first reflection points. The idea is to diffuse any reflection < 5ms or so to maintain the sense of space. However, they won't be worse than what you'd get from a pair of boxes in the same lateral position. Controlled directivity is another possibility, but that requires either a large curved or curved/segmented diaphragm or a large one with some kind of phased array or shading arrangement.
I'd be nervous about running high voltage wires through the wall. It's not the wires, just use something with a sufficient voltage rating and you'll be fine. But I'd be concerned about even a small chance that someone would drive a picture frame nail into one, or something like that. One possibility would be to build the transformers into the wall, which you have to open up for the speakers anyway to get the effect you want.
