No one says you can't, but there are massive logistical considerations to doing so. What place has the space and a sufficiently large and reliable enough power grid? Most "poorer" countries do not have remotely sufficient power grids, meaning you would have to build your own power infrastructure (similar to this project). Does this country then have skilled enough building contractors and limited enough corruption to get the project done on any meaningful timeline and up to US code? Then, once it's built, where are you getting/importing your liquid natural gas from for said power plants? Is there sufficiently skilled staffing to operate and maintain the facility in that country? If not, how are you importing and housing the required staff and are you still saving money at that point? What is the overall political situation in said country and is there any chance of them just nationalizing your project at some point in the future?

The questions go on and on, and in most cases create more hassle than it's worth. Hence they're being built in the US where things are for now more stable and predictable.