I'm an amateur as opposed to an academic, so I don't know of any scholarly speculation on the matter, but I think the short answer is simply this: by and large, the first several generations of American colonists didn't bring the right people with them to create that sort of music (and even after some of the right people did begin to emigrate, they weren't made welcome enough to do much in the way of writing new music of that kind).
To expand on that thought:
(1) Looking generally at the colonization of North America, the first several waves of colonists were heavily self-selected and consisted in very large part of faith-based Christian groups (Puritans, Quakers, etc.) whose musical knowledge and interest was sharply tilted toward religious music. Thus, most of the music we brought with us was church-related (and to a lesser extent, labor-related - shanties and work songs, for instance).
(2) By contrast, most of the folklore and mythology running through European supernatural ballads derives from ethnic, geographic, and social populations who didn't emigrate till much later (and often weren't well received in America when they did come over - cf. "no Irish need apply"). Thus, for the first several generations of the colonial era, we mostly didn't have the right people on the continent to create new ballads derived from supernatural traditions, local or otherwise. And even when they got here, the right musicians would have had trouble finding audiences for those sorts of ballads.
(3) Also, the last thing most early colonists were seeking from the Native folk they initially encountered was supernatural folklore. They were chiefly interested in practical matters on the one hand (food, shelter, resources) and in converting the natives to Christianity on the other. (Not that the natives, at that point in history, would have been likely to share knowledge they considered sacred anyway.) Thus, we colonists were actively ignoring - if not outright suppressing - the best primary local sources for supernatural tales to incorporate into ballads. And even if we hadn't been, you can make a case that Native American storytelling traditions by and large follow their own unique forms, and that ballads as such are a different, parallel storytelling tradition specifically designed for European or Eurasian audiences (I explicitly want to include Russian and/or Slavic cultures in this basket).
Now a lot of the foregoing is highly simplified, and there are exceptions to nearly all generalizations; see particularly - though not only - the Mississippi Delta (New Orleans, etc.), where the music and the cultural surroundings were are far more diverse than in most other early American colonial ports. But as a general answer to the question as asked, I think this is as good an explanation as any.