That reason is basically that cowboy hats are against Super Earth's strict uniform code. If you'd like to flaunt those rules, though, modder Doomdiverr's freshly-released 'Hd2 Cow boys helmets ...

Helldivers 2 CCO says Arrowhead won’t add “hats on helmets” Following the release of the Helldivers 2 Borderline Justice Warbond, some HD2 players have been asking Arrowhead for cowboy hats.