Why isn't ethane used for cooking?
Probably the biggest drivers behind using methane as a fuel is that it is abundant in natural gas and is (currently) mostly useless as a chemical feedstock.
Ethane makes up a few percent of natural gas and can also be obtained as byproducts of petroleum refining, but the big difference from methane is that ethane is extremely useful in chemical synthesis (mostly to make polyethylene).
In fact, household natural gas often contains a bit of ethane, which may vary depending on the current demand for ethane as a feedstock.
In short: it burns just as well, but ethane has other important uses.

Propane has some use as a feedstock, but it is an attractive fuel because it is easily stored as a liquid without requiring huge pressures.