In the event of a homicide an autopsy is required. In the event of a natural death an autopsy is not. There were no signs of foul play, confirmed by U.S. Marshals and local law enforcement. Justice Scalia was in poor health, confirmed by his physician. No reason to suspect the death was due to anything but natural causes. Under those circumstances then the wishes of the family should be granted. No autopsy.
A conversation of any length with Scalia-was-murdered theorists reveals that an autopsy and medical records would in no way deter them from conspiracy theories.