The short answer is, because Alfred Nobel mandated in his will that the Peace Prize he endowed should be awarded by a Norwegian committee. The 'technical' Nobels were to be awarded by Swedish committees, which made sense since Sweden was a larger, more prosperous nation with a larger scientific community than Norway. (In fact, Norway did not become fully independent from Sweden until 1905.)
Nobel may have felt that Norway should somehow be recognized in his will, but he did not explain his reasons, and we really have no way of knowing why he set it up as he did.
There is more history on this topic here: