Why do you think Israel is called Israel? Do you think the Jews just one day decided to move to random place in the Middle East?

Jews had several kingdoms in that area in the antiguity, among them the KIngdom of Judah and the Kingdom of Israel, from which the modern Isrel derives its name. Then they were conquered by the Roman empire and after a failed uprising they were expelled, giving rise to the Jewish diaspora. Romans later renamed the area to "Palestine", after Philistines, the old enemies of the Jews.

Negative questions of the sort "Why didn't X happen?" aren't really good historical questions, simply because it's very difficult to explain what didn't happen.

But in this case, let me give you some food for thought on the issue, based on (a) there once being a Jewish nation, (b) there now being the state of Israel. What factors lead to the formation of the current state of Israel? Why didn't a combination of those factors lead to the formation of a Jewish state earlier.

One reason, I would propose, is that Jewish religion and identity are very geographically bound - to the Temple, to Jerusalem, and to the historic boundaries of Israel found in the Torah. That is, in part, why modern Israel is where it is and how it came to be. It explains, in part, why no significant movement arose to form a Jewish nation elsewhere, and given the occupation of that land by various other parties for most of the last 1500 years, the inability for a Jewish nation to be formed there until the events leading to modern Israel.

Other than Israel, which was created artificially to an extant.

ar·ti·fi·cial adjective \ˌär-tə-ˈfi-shəl
: not natural or real : made, produced, or done to seem like something natural

: not happening or existing naturally : created or caused by people

LOL, isn't every country created "artificially?"