Codeshare is a favorite among hub and spoke carriers, of which we all know, WN is not. The whole point of the hub and spoke existence is to get people to and from their hub: more codeshares = more people to the hub.
This can be a problem with the hub and spokes: they've become so mesmerized by their hubs that they can't stop creating alliances, codeshares, FF mile benefits, just to enhance the hub. They see enhancing the hub as the key to their success.
Since WN sees point to point as a better solution, they don't need to get help from others to feed their flights.