Grain direction is'nt going to be the limiting factor here. The limiting factor is stiffness. No matter what steel alloy you use you are going to be stiffness limited in your design.
This stiffness limiting requires that you use a specific geometry that uses teh 200GPa of modulus the most effectively. All steel alloys have roughly the same modulus. This modulus does not change significantly due to heattreatment or alloy composition. Going to higher strength materials is not going to reduce weight.
Try running a MatWeb search using modulus as the property to search by, get all metals with a modulus >40,000ksi. You'll notice that all thats left are beryllium, osmium, molyebdenum, iridium, rhenium, rhodium, and tungsten are in this grouping. These alloys are much more (>5x) expensive to purchase, not to mention working, machining etc...
"I would gladly pay 5X the price of 4340 to get 10% more strength."
Again, you are going to have a really hard time finding anything with tensile strength greater than the ultra-high strength alloy steels. (300M & 4340) Elgiloy at ~$160/lbs comes to mind. There are others, but again costs for the alloy itself can get extreme quickly, not to mention heattreating etc...
(I do know of a part that was manufactured by WireEDM in 3 dimensions from S7 tool steel. Then the part was hardened to HRc 59. I'm not sure how much they cost to make, we were trying to have it quoted and all we got was RTQ (refuse to quote))