Call of Duty world at war was created by the company Treyarch whereas Call of duty modern warfare 2 was created by infinity ward. Modern warfare one did not have a zombie mode so there would be little to no point of including it in Modern warfare two as it would not fit in at all.
As stated above, there could've been issues with conflicting producers Treyarch and Infinity Ward. Also, Zombies wouldn't tie into Modern Warfare very well. However, in Modern Warfare 2 we are given Special Ops to replace Nazi Zombies and the multiplayer campaign. Also, once you complete the campaign and watch the credits you can access the museum. From there, you can go to the clerk/help desk and press X. This will cause all the characters in the displays to attack you, similar to the Nazi Zombies though quicker. (Still fun though)
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