Because England means place of the Angles, Scotland means place of the Scottia, and Wales comes from an ancient word for "foreign". It's called Wales because it was "that place over there". To quote the author Mark Forsyth:

"Two points about Wales. First: it doesn't have a name. Wales comes from wealh and means foreign, in the same way that a walnut is a foreign nut because walnut trees were not native to England. Wales simply means foreign country. It is an exonym. The Welsh word for Wales is Cymru, which comes from the Brythonic word combrogi meaning land of our compatriots. So the English call it "Their Country" and the Welsh call it "Our Country", which means that the floor is wide open for somebody to think up an actual name for Permanentlyrainingland."

So the place, Wales, gives it's name to the people, the Welsh, whereas in the other major division of the British Isles, the people gave their names to the places.