Germany

Wurst is traditionally not really a street food. Bratwurst is to be eaten on a plate with knife and fork acompanied by potatoes and veggies of some description. Preserved Wurst like smoked Mettwurst is dry and can be eaten without holding it in any kind of bun. Boiled wurst like Bockwurst or Wiener Würstchen are cooked in a soup or stew.

So traditionally there was no need to have a fitting bun for the Wurst. Bratwurst in a bun is a relatively new thing (post war I'd guess) and germans just made it work with the buns that were available anyway. People got used to that, so nobody saw a need for any different kind of bun.

That's my personal take, so take it with a grain of salt.