Why do folk songs not change the key signature?
Well I dunno for sure, but my guess is, to keep them fairly simple. A musically simple song, more people can enjoy it. They can sing them or hear the song’s story without being distracted by unnecessary musical ornamentation (like a key change).
Think about holiday songs like “joy to the world”: that goes “do te la so fa me re do” which is just “do re me” backward. It’s a generality but I’d say folk songs are not musically nuanced on purpose so more folks can enjoy them. Just my opinion, I’d be interested to hear somebody else’s.