Elections were originally on Tuesdays because "Tuesday was established as election day because it did not interfere with the Biblical Sabbath or with market day, which was on Wednesday in many towns."

Why hasn't it changed? Because to change it the party in power would have to vote to massively change voting block, almost certainly swinging several elections. Since the party is in power, they have no interest in this.

Additionally, the people who want it changed are probably the people who can't easily vote on Tuesday. These people already don't vote, so they can't influence their politicians to support changing the day.