There's really nothing along a "cutting the corner" route to even mandate building new terrain Interstate in the first place.
Sure it'd be nice to save a few minutes off the Evansville to Memphis travel time, but it's a totally different situation than I-69 in Indiana where you had a sizeable number of people in SW Indiana lobbying for the road, and quite a few people being served by having the road built (Evansville, Bloomington, Martinsville, Washington, Crane Naval, etc).
Also US 41 in Indiana would need a lot more work to be upgraded to Interstate standards between Terre Haute & Evansville than the Parkways that will be I-69 in KY will need.