Size, scaling, and insufficient benefits. Nuclear thermal generating stations don't scale down particularly well. It's typically more efficient to build fairly big. You don't need a hundred megawatts to run a train, aircraft, or car.

We don't have nuclear-powered trains primarily due to safety, weight, and infrastructure logistics. A mobile nuclear reactor requires massive amounts of heavy lead or concrete shielding to protect the crew and public from radiation, making the locomotive far too heavy for standard tracks and bridges. Furthermore, the risk of a "mobile" nuclear disaster in the event of a high-speed collision or derailment in a populated area is a significant public safety and security nightmare. From an engineering standpoint, reactors generate immense heat that must be dissipated; while ships and submarines can use the surrounding ocean for cooling, a train would require enormous, impractical radiators. Instead of putting a reactor on the train, the industry has opted for electrification. It is far more efficient and safer to build a stationary nuclear power plant and transmit that clean energy via overhead wires (catenary) to the trains. This allows the locomotives to be lightweight and fast while still being "nuclear-powered" in the sense that their electricity comes from the nuclear grid.