Why are some engine nacelles thicker than others?
The nacelle contains a lot of equipment for controlling the engine. While this will certainly scale with the size of the engine, there is also some amount of minimum space needed for the components. The volume also increases faster than the surface area, so there is more room to spread things out. You will notice that the general trend in your pictures is relatively thinner nacelles as the engine diameter goes up:

E190 - CF34 - 57 in
B737 - CFM56 - 61 in
A330 - CF6 - 105 in

The difference between the CFM56 and CF34 isn't that great, but I think your image of the 737 isn't the best for comparison. If you look at an image more comparable to the CF34 picture you have, like this one, they appear much more similar.