Allah in Arabic is a compound word that means "The God". Since the native tongue of Arab Christian is Arabic, it would make little sense for them to randomly say an English word where an Arabic one already exists. However it is accepted that the original Arabic of Quran is very important to preserve so generally the prayers aren't read in a translated format.

The Arabic language is also an important factor in Islam in a way that has no good analog in modern Christianity. A little background - I am not Muslim but have had Muslim friends and have a Qu'ran on my bookshelf. It has been explained to me, and backed up citing the book itself, that a translation of the Qu'ran to another language is not a Qu'ran. My English language Qu'ran's title - The Meaning of the Qu'ran, implies that you are commanded to keep to the original Arabic, partly to avoid misunderstanding from translations, partly because it's a point of faith. Of course, there are practical limits. Converts or Malaysian Muslims who don't speak Arabic will make accommodations, but will stick to "Allah" where Christians can be flexible on linguistic matters.

English speaking Muslims can refer to 'God' in casual conversation, but 'Allah' will always be the only properly correct word. Not so for Christians. Every language has its own word for a diety, Christendom will use the local word, even back in the day when Latin was the lingua franca for the 5 guys in town who could read and write.