Because that wouldn't make any sense. Keep in mind that people are calling Wrath of the Lich King -> Wotlk, not WLK/Wrath.
So the pattern is -> use the first letter of each word.
If it's one word(like Cataclysm), then people will just short it Leg would be okay, but LGN? Don't think so.
Anyway - the name is so short and simple that I don't see any problem writing "Legion". I know that some people may be bored after saying "What do you guys think about Wrath of the Lich King" instead of "Do you guys like wotlk?", but One word - Legion? Nah.