Same reason Nigerian 419 scammers continue to make it clear they're from Nigeria: If you're unaware enough not to know that "Nigeria" is a red flag for "scam," you're exactly the mark they want.
There's a much, much simpler reason. The object of the scam is to persuade you to send money to the only country they can collect it, which is Nigeria.
Most of the people who haven't heard of Nigerian prince scams have spam filters which have. I suspect their spam-filter evasion rates are so low they really, really wouldn't want to filter those people out if they knew what they were doing
(I suspect the reverse is actually true: a lot of the people running the scams have heard legends about how much their fellow countrymen made from using certain email templates, but have no idea how much of a running joke they are in Western discourse and how consistently they're filtered out)
Most of the people who haven't heard of Nigerian prince scams have spam filters which have. I suspect their spam-filter evasion rates are so low they really, really wouldn't want to filter those people out if they knew what they were doing
(I suspect the reverse is actually true: a lot of the people running the scams have heard legends about how much their fellow countrymen made from using certain email templates, but have no idea how much of a running joke they are in Western discourse and how consistently they're filtered out)