The following story is not only apocryphal, it is also patently false:
Picture, if you will, Alfred Nobel on his deathbed. He's setting up a trust fund which will give out prizes for those whose inventions or discoveries are of the greatest practical benefit to mankind. One by one, Nobel and his advisors go over the categories in which prizes will be given. The Curies should be given something, so prizes are set up for Chemistry and Physics. Doctors are always of benefit to mankind, so Medicine goes without saying. The list goes on. Finally, Nobel props himself up in his bed and asks: "And if I give a prize in Mathematics, who will be the first laureate?"
An aide leans forward and whispers a name into Nobel's ear.
"What? The bastard with whom my wife cheats on me?!" Nobel roars, "NEVER! There will be no Nobel prize in Mathematics!"
And that is (not) why there is no Nobel prize in Mathematics.
There is also no Nobel Prize in Economics, despite extensive media coverage. Determining the difference between a "Nobel Prize" "in" Economics and a real Nobel Prize is left as an exercise to the interested reader.