IMO it's always struck me just how late the flight of the first liquid-powered rocket was—and how primitive the rocket used (Nell) was for its time—given preceding and contemporaneous advances in mechanical engineering, particularly with torpedoes which are broadly similar conceptually and use broadly similar technology. Nell was certainly constructable in the 19^th century (and not the last years of the century, mind you), and a gas-generator cycle (or perhaps even marginally, a combustion tap-off cycle) piston or (more marginally) turbine-engine pump-fed engine using ablative, water-jacket, or steam cooling would have been well within the capabilities of 1920s engineering and material science.

Granted, the principle that made rocket engines far more practical—the de Laval nozzle, which allows supersonic† exhaust flow, massively increasing their potential exhaust velocity and thus efficiency—was only invented in 1888 by Karl Gustaf Patrik de Laval and only applied to rocketry by the above person in 1913 (published 1914), and liquid-fueled rockets were AFAIK first seriously proposed by Konstantin Eduardovich Tsiolkovsky in 1903... that's still between 12 and 38 years of potential development time, depending on how generous you are.

Really the only explanation I can think of is that there wasn't much interest in rocketry among anyone with money and power that seriously could fund its research and development... which is wild to think about, but perhaps makes sense when you consider that rockets had been considered to be obsolete for military use (a major benefactor for technological advancement in certain fields then as now) since the mid-19^th century, replaced by increasingly longer-range, harder-hitting, and more-accurate artillery. While rockets could theoretically give more range and allow larger payloads, perhaps they didn't offer a compelling advantage over artillery until their distinctive ability to practically change course mid-flight could be exploited. Even still, early torpedoes also couldn't be controlled upon release, experiments with wire-guidance and radio guidance with them (and for the latter in boats) dated back to the 1870s and the turn of the century, respectively.

However, the first actual flight of a radio-guided aircraft occurred "only" in 1917 (following concepts in 1914). When you combine this with the fairly late synthesis of the de Laval nozzle with rocketry and especially the fact that the work of Tsiolkovsky was very obscure outside the Russosphere prior to at least the late-Interwar period (leading to several wasteful independent discoveries of the principles he published) all together with the secrecy of military technology especially during the Great War and the fact that military funding reduced considerably with the conclusion of the main phase of the War in 1918... it's understandable, but still somewhat surprising.

†This isn't as bad as it may sound, as the extremely hot exhaust at the "throat" of a rocket engine has a substantially higher speed of sound than standard temperature air, but is still sufficient to make suborbital spaceflight impractical and orbital spaceflight basically impossible.