My texi2dvi is apparently in a place where R CMD Rd2pdf doesn't expect it.  Mine is at /usr/local/bin/texi2dvi, and it's being looked for at /usr/local/opt/texinfo/bin/texi2dvi:
[KenMacBook:~/git] % \R CMD Rd2pdf missing
Hmm ... looks like a package
Converting Rd files to LaTeX 
Creating pdf output from LaTeX ...
Error in texi2dvi(file = file, pdf = TRUE, clean = clean, quiet = quiet,  : 
  Running 'texi2dvi' on 'Rd2.tex' failed.
Messages:
sh: /usr/local/opt/texinfo/bin/texi2dvi: No such file or directory
Output:
Error in texi2dvi(file = file, pdf = TRUE, clean = clean, quiet = quiet,  : 
  Running 'texi2dvi' on 'Rd2.tex' failed.
Messages:
sh: /usr/local/opt/texinfo/bin/texi2dvi: No such file or directory
Output:
Error in running tools::texi2pdf()
I can work around this by running R_TEXI2DVICMD=/usr/local/bin/texi2dvi R CMD Rd2pdf, and then the docs are built correctly.  
I'd like to put that setting in my .Rprofile so that things like RStudio (which won't read my .zshrc) and other random R sessions will see the setting.  But neither of the following seems to have any effect in my .Rprofile:
Sys.setenv(R_TEXI2DVICMD='/usr/local/bin/texi2dvi')
options(texi2dvi='/usr/local/bin/texi2dvi')
I'm guessing .Rprofile doesn't get read by R CMD commands, is that correct?  Is there an appropriate place to put my settings?
UPDATE:
Since Dirk doubts my doubting of .RProfile for affecting R CMD Rd2pdf :-), here's my evidence:
[KenMacBook:~/git] % tail -n2 ~/.Rprofile
Sys.setenv(TEXI2DVI='/no/where')
cat("End of RProfile\n")
[KenMacBook:~/git] % Rscript -e '2+2'    
End of RProfile
[1] 4
[KenMacBook:~/git] % R CMD Rd2pdf missing
Hmm ... looks like a package
Converting Rd files to LaTeX 
Creating pdf output from LaTeX ...
Error in texi2dvi(file = file, pdf = TRUE, clean = clean, quiet = quiet,  : 
  Running 'texi2dvi' on 'Rd2.tex' failed.
Messages:
sh: /usr/local/opt/texinfo/bin/texi2dvi: No such file or directory
Output:
Error in texi2dvi(file = file, pdf = TRUE, clean = clean, quiet = quiet,  : 
  Running 'texi2dvi' on 'Rd2.tex' failed.
Messages:
sh: /usr/local/opt/texinfo/bin/texi2dvi: No such file or directory
Output:
Error in running tools::texi2pdf()
Notice that the file's settings are respected in a normal R session, but setting TEXI2DVI has no effect here.
 
     
    