The reason is historical, like much in aviation.
It's because the AFTN, the Aeronautical Fixed Telecommunicactions Network was established using teleprinters, which use a 5 bit code, rather than the 8 bit ASCII code we are used to in computers. This limits the number of possible characters so they only ever had upper case. It will change over the next year or two with the introduction of XNOTAM.
Other historical quirks:-
On an aircraft the switches are generally up for on, the convention in the US, after all, Orville & Wilbur were American.
Taxiway edge lights are blue, like road edge reflectors in the US, similarly the centre markings are yellow.