No they do not, however you can get wake up call on the phone just like any hotel offers. I always take along a small digital alarm clock, they are very light and inexpensive and can be found in luggage stores and luggage departments of stores like Target.
I'd put the alarm clock in your larger luggage...not in your carry on. We always take one, too. We have used the wake up calls in the past just in case my clock didn't work!