There is the Welsh Government, The Northern Ireland Assembly, and The Scottish Government. All those countries are also under the Westminster government. Why does England not have its own devolved government?
This is because the Parliament of the United Kingdom of Great Britain and Northern Ireland is the legitimate successor to the historical Parliament of England and the Parliament of Great Britain. Essentially, Westminster is the government of England, which was established in or around 1236 under King Henry III's reign but it was his son, Edward I, who began using it more frequently (at least once a year) as he recognized it helped to form laws by a greater consensus. It was during the time of Edward I that Wales was conquered and with the execution of the last of the Princes of Wales, the remaining Welsh nobility pledged fealty to King Edward I and Wales was annexed into England (while it is considered a separate geographic region of the U.K. like England, Scotland, and Ireland, legally, it's been governed by the Parliament of England and successor Parliaments for over 700 years.).
Scotland was not conquered by England. Rather, upon the death of Queen Elizabeth I of England, who had no heir apparent, King James VI of Scotland, her cousin (Elizabeth's Aunt was James' great-grandmother on both his mother's and father's side of the family) was the closest living relative, thus giving him the best claim to the English Throne. In effect, James VI and I became the King of two countries at the same time. While he did push for a pure unification, it wasn't entirely possible until 1707 when the Parliament of England (and Ireland) and the Parliament of Scotland were united to form the Parliament of Great Britain.
The Kingdom of Ireland was brought under English Rule by one of two of Elizabeth I's successors, depending on who you ask. Technically, the personal union was formed when the Irish Parliament voted to name King Henry VIII of England the King of Ireland. However, King Henry VIII was the same King Henry who created the Church of England after the Pope refused to grant him a divorce because Henry's wife was related to the Pope. So the Catholic Church refused to recognize the union (which was more important to European politics back then) and continued to refuse until the death of King Edward VI, Henry's successor, who was succeeded by Queen Mary I (aka the Bloody One) who was quite a devout Catholic (she earned her Bloody title from her treatment of her protestant dissenters, 280 of whom she had burnt at the stake.). Ireland was considered a separate kingdom until the events of the Irish Rebellion of 1798 (in which the rebels were backed by the French, much like those former colonists that formed the United States of America) and in order to avoid losing Ireland, both the Parliament of Great Britain and the Parliament of Ireland decided to form the Parliament of Great Britain and Ireland and the Parliament of Ireland (and the Kingdom) were dissolved. The Parliment of Great Britain was formally dissolved and was reformed as the Parliment of the United Kingdom of Great Britain and Ireland (with the minor change in status of the Irish, this is still the legitimate parliament of England and Wales.). The Northern Irish Parliament was created as a result of the delayed enactment of passed legislation that lead to the 1919 War for Independence.
Back to Scotland, around the 1960s, there became a growing movement for Scottish Independence that followed similar trends to the Irish movement (though this was more related to drilling rights for Oil discovered in the North Sea). Because this was going on during the beginning of "The Troubles" with the Irish, which was by this point lingering from decisions made nearly 200 years prior, The UK seemed to have learned its lesson and worked with Scotland to devolve certain legislative powers to Scotland while reserving powers to the Parliament of the UK and re-established the Scottish Parliament.
Then in 1845, the Great Famine struck, which lead to the death of an estimated 1 million Irish, and the emigration of another 1.5 million Irish (mostly to the United States.). This was out of a population that was estimated to be 8 million in 1844, and the emigration from Ireland wouldn't return to pre-1844 levels until 1960. This along with the lack of concern for Irish interests by Parliament lead to the rise of the Irish Parliamentary Party to re-establish the Irish Parliament, which faced numerous delays in enacting legislation, resulting in the Irish War for Independence in 1919. The treaty granted independence to the whole of Ireland but allowed Loyal Northern Ireland the right to return to Great Britain, which it exercised a month after the treaty was ratified. Due to more complicated politics, the newly freed state of Ireland didn't become Known as the Republic of Ireland until 1948, and the name wasn't recognized until 1998 by the United Kingdom, after the Republic formerly renounced its claim on Northern Ireland, thus ending the period known as "The Troubles."
TL;DR: The UK parliament is and always has been the Parliament of England (and Wales) and at one point absorbed Parliments of other Kingdoms that entered into personal Unions through various monarchs. However, as it was English Parliament first, it had a tendency to be biased toward decisions that would benefit England over the people who the problem was directly affecting, and thus devolved to better manage more local interests. As such, the powers it devolved to Northern Ireland and Scotland were powers it retains for England and Wales, because it has always had those powers for England and Wales.
England makes up more than 80% of the population of the UK, and accordingly has more than 80% of the seats in the House of Commons (currently 543 out of 650).
So the House of Commons is already overwhelmingly English*, which - it could be argued - makes having a separate English legislature pointless. There was previously a procedure which required all England-only legislation to be voted on only by English MPs, but this is no longer in place.
This disparity in population and representation between England and the other parts of the UK is one reason why devolving power to the English regions has been suggested a number of times. However, other than creating a few directly-elected regional mayors, this idea has never gained much traction.
In addition, because some powers are devolved to the governments in Wales, Scotland or Northern Ireland, the current UK government is already not responsible for certain matters in all parts of the UK. Obviously this isn't the same as there being an English government, but in some matters it does come close.
(* In this answer, "English" refers to constituencies in England, not English nationality.)
From 2015 to 2021 there was a parliamentary protocol called 'English Votes for English Laws' by which e.g. Scottish MPs were barred from voting on legislation affecting only England, so there was effectively a devolved English parliament within Westminster.
Exactly why this was abolished depends on who you ask - possible justifications include appeasing SNP MPs who were unhappy about this loss of power, for the sake of preserving the Union, or that it was slowing down and complicating the legislative process.
The relevant political term is Asymmetric federalism.
A similar example to that is the structure of the USSR. To an external observer, the RSFSR was sufficiently large and important that the whole country may be informally referred as Russia. But to a domestic observer, RSFSR was lacking some essential government institutions, which let other federation subjects have comparative advantage e.g. when bargaining for subsidies, and this was compound by the fact that while the central federation subject hosted the government of the whole federation and main business capital (Moscow in case of USSR), some other parts of RSFSR were falling behind and could end up comparatively less developed than expected due to apparent disinterest of central government in their performance as well as lack of functioning state-level government to cover it.
In addition to the other answers:
Because England is not a coherent entity
Scotland, Wales and Northern Ireland are relatively coherent entities. Granted that there are still differences between lowland and highland areas, or between city and countryside, the general economic experience of each area is not too dissimilar, and the smaller number of people in each of these areas makes it more valid to generalise in terms of their requirements.
England is not. We have massive differences between areas. For example:
- A major concentration of people in London and spreading along the M4 corridor and into Kent/Sussex/Essex, and an even greater (disproportionate) concentration of government spending in London and the surrounding counties. The banking and finance sectors are major employers here.
- The Midlands (Birmingham/Derby/Sheffield), whose workforce was predominantly employed in mining and heavy industry until the 1980s, and is still recovering from the loss of those sectors.
- The industrial North (Liverpool/Manchester/Newcastle), which shares a lot of the same issues as the Midlands, with an earlier decline as well from the loss of port infrastructure, export to ex-colonies, and shipbuilding.
- The rural North and Midlands. Mostly hilly areas with livestock farming. Chronically poor, propped up by tourism.
- The rural South and East Anglia. Mostly arable farming, in somewhat better shape with EU farm subsidies. Richer townies and better infrastructure gives more tourism income.
- The rural South-West. Previously had much of the UK fishing fleet, but now mostly only has tourism and livestock farming. Better infrastructure and being closer to richer urban areas means it does better from tourism than the rural North.
- Seaside towns. Initially founded on tourism, now the most deprived areas of the UK. Trailer parks are often a major form of housing, and not just for summer tourists.
That's only a very rough thumbnail sketch, of course, but hopefully it gives a flavour. Inequalities within England are huge, not just when it comes to rich individuals, but on a regional scale as well.
For people considering a separate English government then, no-one has ever seriously suggested that an English devolved government would be a good idea. Rather, the more serious suggestions have always been that there should be devolved regional governments within England. This is a proposal which is being taken very seriously for the North of England. Currently nothing has come to fruition for entire regions, but the establishment of mayors for Northern cities has certainly given a greater degree of autonomy than previously existed.