Because technically speaking the escorts would be committing an act of war. The U-2 flights are UN sanctioned, with Iraqi agreement. The escorts would be US military aircraft intruding in Iraqi airspace. The U-2s are flying over what little (about 1/3) of the country isn't in a "no fly" zone. We and the Brits fly in the no fly zone under the terms of the armistice that ended the Gulf War, phase I, and thus are not flying over sovereign territory without permision of the locals.
That said, air "cover" would be still be a good idea, screw the UN and the Iraqis. Of course the "cover" would of necessity fly under the U-2s, because other aircraft can't fly as high as a U-2 routinely operates. In fact I'm sort of surpised a fighter can present a threat to a U-2, although I guess a Mig-25 or -29 with one of those big hulking Russian/Soviet missles could probably reach out and touch it.