Two reasons.
First, the various horrors and Things Man is Not Meant to Know that populate the universe in a Lovecraft Mythos game are not organised enough (against us, at least) to pull this kind of thing off as a regular tactic—if they were, the world would already be consumed, enslaved, or worse. Since we're playing a game where we investigate and try to stop that kind of fate, we can presume that the horrors haven't gotten it together enough, or just haven't bothered yet, to destroy the world. Teleport-bombing is small potatoes: why bother when it's easier to just eat the planet?
Second, they just don't think like people do. What makes sense for us as a sure-fire strategy just doesn't matter to them. It's much like a fly beating at a window (where we are the fly in this analogy and the horrors are the humans): it's obvious to the fly that the solution is to go straight through that unobstructed opening in the wall! Why don't the giant pink creatures that we're fleeing from, which clearly want to eat us, pursue us? We're getting away!
Except the fly isn't getting away, it's trapped. And we don't care. And our motives are certainly not comprehensible by the fly. Also, maybe we're not organised enough to deal with the clear and present danger that this insect poses to… our plans for getting ready for work and finding our keys? Maybe we'll take a half-hearted swipe at it while we go by, but unless the fly swatter is ready to hand we're just going to get on with our day and let the fly die in the window in its own time. A spider (i.e., Shoggoth, etc.) will probably get it for us anyway.
Humanity, and the whole Earth really, is like that fly to the Lovecraftian horrors. They're inimical to us, yeah, just like people really don't like flies in their house. But they're not going to bother with eradicating us unless it's convenient, they usually don't think about us, and the only time they'll actively go after us is when we pretty much fly straight into their "hands". If their incomprehensible cosmic plans call for it, they'll get organised and eradicate us, but why would they bother otherwise? Are you really going to fumigate your house every time a fly gets in? No, you're only going to bother with a major infestation, or when trying to sell the house in a tough market, or something like that. And how much can that fly in the window grasp about these factors that control its fate and continued living? None. It just beats against the glass.
Event that analogy is flawed, because it attempts to parallel their thoughts to ours. The useful take-away part of the analogy is that we're insects to them, not worthy opponents that deserve much attention or efforts to teleport-bomb, and that our intellects and comprehension of what is sensible is so disconnected from the true nature of reality that we can't explain or predict their actions.
The only adversaries in a Mythos setting that are going to be motivated in a human-understandable way enough to want to teleport-bomb the heroes are other humans, and if they're treating with horrors enough to become dangerous cultists, they're already far gone enough that what they're doing is already quite insane and has incomprehensible motives. Insanity is enough explanation to not do the obvious thing.
Even sorcerers who have maintained enough of their cunning to be somewhat comprehensible in their motives are going to have more going on than merely teleport-bombing some annoying investigators. Being Mythos sorcerers, to do anything mystical they have to get close to those horrific truths of reality that can burn out a mind, and how often can someone grab hot coals to fling at their enemies before they get burned? The more powerful the sorcerer, the more frequently they use their power, the more likely they are to have inhuman motives or to provoke or discover something that will destroy them (or the world). Sorcerers are either going to be self-limiting for their own sanity and safety, self-limiting by being insane and doing incomprehensible things for incomprehensible reasons (see above), or they're going to be self-limiting by earning a Darwin Award.
Best Answer
Yes, teleport can do that
Nothing in the description of the spell states or implies that the destination must be a fixed location, like a town. A destination is simply a place to which one is journeying or to which something is sent. "Onboard the Jolly Roger" could certainly be a destination.
This is also supported by this tweet from Jeremy Crawford: