In short, because the state is so small, there wasn't enough demand for an airline to serve an airport located in the state itself when there are already so many flights in Philadelphia.
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Many cases of both short and long-haul direct flights operate today. It is less common internationally, though (unless needed for technical refueling), as the airline may not be able to sell the sector outside its home country separately.
Vatican City is not only an independent city-state, but it's also the smallest country in the world. The 109-acre spot does not have its own airport, likely because it is actually “enclaved” within Rome.
Welcome to the Wilmington (ILG) website. This airport is the largest operated by the Delaware River & Bay Authority with three major runways, ten taxiways and several aircraft parking ramps.