There is one great explanation for why it doesn't happen in Call of Cthulhu in particular and one great explanation for narratively why it doesn't happen that often.
But you asked the question regarding any game system where teleporting is feasible, and seem to want an in universe answer. That is a bit hard since each universe is a bit different, but I can suggest a few that are broadly applied.
There are countermeasures
In many Universes with teleportation, there are generally ways (often very easy) to stop it from affecting a specific area. In Star Trek shields will stop a transporter, and once the shields are down you don't need to get that fancy since a torpoedo or two will end it. In many systems with magical teleportation, there are wards that stop it.
Of course, not everywhere will have countermeasures, but you can expect the plot- significant/high-value targets for both sides of any major conflict to have the countermeasures. And many systems have sophisticated enough magical investigation that even against a soft target without countermeasures they will probably find those who did it.
Inherent Limitations on Teleportations
Other universes have limitations on the teleportation. Earth: Final Conflict had portals that were essentially teleportation, but only between two fixed technological constructs. So, sure you could teleport your bomb in, but only if you could get your portable portal generator to that destination first.
Some fantasy fiction has effectively similar limitations where you can teleport but only if certain conditions are met, such as having placed a magical item that you can teleport to there already or even having someone there on the other side to help you or being able to see the target.
Of course, even with those limitations there are cases where it might make sense to teleport in a bomb (or magical explosive), but the limitations make them rare and make you work to arrange it so it's possible.
Gentlemen's Agreements and MAD
If you look at the real world, there are often limitations on the way we wage war and what weapons are used. These are rooted in different things like tradition, treaty, and simple practicality. For instance, the ancient Greek City States had many traditions about how they waged war between themselves. The Geneva Convention is all about what the modern world considers appropriate and inappropriate during a conventional war.
And then there are practical considerations where you hold back using a weapon simply so that your enemy does not use it in return. This was behind the Mutual Assured Destruction (MAD) doctrine dealing with atomic weapons.
I can't actually come up with an example of that in any fictional universe with teleportation, but I could easily see it. All the civilized realms might agree no teleporting anything behind enemy lines, it is simply taboo. Again, that doesn't mean it won't happen, but it does mean it will only be used by rogue groups that can expect to be hunted visciously.