Does NetSuite database (w/SuiteAnalytics Connect add-on) come with history tables that we can query via SuiteQL?

You can get system notes, if that's what you mean?

I was thinking more along the lines of changes to records, i.e.: if a vendor changes their name or price of an product changes (slowly changing dimensions).

System notes is the only place where historical changes to data are captured natively. There isn’t anything like change data capture, at least, nothing exposed via suiteanalytics connect or SuiteQL