Intuitively, it seems like heat engines and refrigerators require a good bit of technology to make a working substance pass through different thermodynamic states and then finally return to the initial state. Usually, at the very least, some tubing and pumps are involved. Thus such devices appear to be pretty special occurrences in nature, requiring a human to make them.
On the other hand, there are all sorts of material cycles in nature, like the water cycle and the carbon cycle. But I'm not sure if those constitute thermodynamic cycles.
So the question is, are there any genuine thermodynamic cycles that are not man-made? Of course we will count approximate cycles, because even man-made cycles are only approximate. Refrigerators are constantly leaking a few molecules of refrigerant, for example. And the initial state may never be precisely reached again, although it gets close enough to be functional.
EDIT: What makes me hesitate to immediately consider the material cycles to be examples of thermodynamic cycles is the difficulty in identifying a thermodynamic system that stays together through the whole cycle. The system has to be small enough that it takes definite values of thermodynamic quantities such as temperature and pressure at a given time. But over time matter gets thoroughly mixed together, making it hard for the initial system to stay together and remain plot-able on a thermodynamic diagram. Perhaps there is a conceptual way around that issue that I haven't thought of yet.