Part of the reason might be that (here in South Africa, at least) IUDs are generally not advised for use on nulligravid women. The reason quoted to my partner - there might be other reasons - was that the physical changes of the cervix that come with pregnancy makes IUD insertion less painful.

Also, random anecdatum, best to disregard: I personally know one woman who became pregnant while on Mirena. She was told that it is very unusual, though.