Why does Bitcoin store keys in a database?
Historically bdb was used for the UTXO as well, so you could justify using it for the wallet as well for consistency. It makes absolutely no sense today, other than that it will always need to be supported to some extent for compatibility. 

Really the wallet could be replaced with any key value store at all and it would function completely fine. You would not want a single key per file because this tends to be incredibly inefficient and difficult to deal with from a filesystem, and a human interaction perspective. It's easier to back up a single file than tens of thousands in a directory.