The United States isn’t a country divided into states; it’s a country formed when states joined together. So your question is a bit like asking why Luxembourg wasn’t simply slotted in with Germany or Belgium. Who would do the lumping together?

Roger Williams and others who had been banished from the Massachusetts Bay Colony for religious reasons in the 1630s took up residence on coastal land controlled by local Indian tribes, and got an English royal charter for a new colony. More than a century later, the Colony of Rhode Island and Providence Plantations was one of the colonies who broke away from Great Britain and then joined together to form a new nation.

You can read the royal charters on p. 106 of Boundaries of the United States and the Several States, a US Geological Survey book available as a PDF here.