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.
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)
https://www.microsoft.com/en-us/research/wp-content/uploads/...