It's been in South Africa and other exotic countries as well, mostly in the 70s-80s.
I don't know why they fixed the location to Vegas in the mid-2000s. My best guess is that a show that couldn't even be broadcast on a decent webcast that didn't freeze every 5 minutes, can't get any airtime on TV or even PPV, can only fill 2/3 of the seats in the contest hall, and is viewed with disdain by the general population due to its drug culture probably doesn't have the funds or motivation to move the show every year to various cities around the world or even the country. It's a freakshow and freakshows typically only exist in one place. Maybe some IFBB insiders have better answers but I think that's a reasonable hypothesis; in short, nobody cares about it to travel 3000 miles for it.