I don't know why; it would be handy huh. But since the files are separate, just make sure they are all in one folder, and have another window open showing the folder of your GBA games on your DSTWO. Say if one game is Mario & Luigi: Superstar Saga, you can search the other folder (the one containing all those cheat files) for Luigi. The cheat file for that game will pop up in the search results, and you can make a copy of that .cht file and put it in a new folder that you made yourself in NDSGBA. call it something like "mycheats."
So you could start up Mario and Luigi, press (x), go to cheats, load cheat file, press (b), go to mycheats folder and load the cheat file. Make sense? You could do this (individually) for each game Maybe not the best way, but a lot faster than scrolling through thousands of cheat files to get the right one everytime.
