"Double u" is a rather long pronunciation for a letter. Why do we not yet have a shortened pronunciation yet? Is the letter simply too young, or are there other reasons?
One potential reason is simply that there's not much motivation (or "evolutionary advantage" to the language if you want to see things that way) to shorten the pronunciation of 'w'.
Remember that 'w' is one of the rarest letters, having a frequency of something like 1-2% compared to in the region of 10% for "common" letters like 'a', 'e', 't'. And even that frequency is probably largely down to a handful of common words such as "who" and "where", which in reality people practically never need to spell out.