The same reason why USA doesn't have any periods or punctuation.
Although it is grammatically correct to have these periods, it is just not popular usage. For example, MA instead of Massachusetts
The Chicago Journal of International Law Style Sheet states:
1) When using acronyms for country names, omit periods between letters.
From Wikipedia's Manual of Style:
e Chicago Manual of Style now deprecates the use of the periods (16th ed.); US (without periods) is generally accepted in most other national forms of English. In longer abbreviations incorporating the country's initials (USN, USAF), periods are not used.
In short, I think it is disputed whether or not to have periods when abbreviating country names. I feel that its unnecessary though, because people know it is an abbreviation, and not two words Capitalised, so its fine without periods.