Why didn't the woman just order "egg, sausage and bacon"?

Within the fiction of the sketch, it makes some sense for the woman to think that there's nothing to order without Spam in it. The cook's list goes on for so long, and mentions Spam so many times, that anyone in that situation could easily forget what the first few items mentioned were, or that they didn't include Spam.

We might then wonder why the cook doesn't say "Oh, if you don't like Spam, you can just get eggs, bacon and sausage, as I mentioned before." Maybe she's forgotten her own menu; maybe she's feigning ignorance out of spite. Neither theory has much support in the text. As performed, it seems that for the first several seconds of the sketch, there is something on the menu that doesn't include Spam; then the facts have changed, and there is nothing on the menu that doesn't have some Spam. The text is inconsistent.

From outside the fiction, the humor of the sketch derives primarily from the second set of facts. The woman's inability to order anything without Spam causes her to get more and more frantic, mounting the tension of the situation so as to enable the "catharsis" of the madness that follows.

It would be a bit much to say that there's a narrative, but the sketch does have an emotional arc: innocuous absurdity, followed by increasingly animated absurdity, and then off-the-rails absurdity. For this to work, the beginning of the sketch has to be constructed carefully: The Vikings are present, but quiet; the couple float down from the void into their seats, but this is not remarked upon. Critically, the cook can't mention Spam. Not right away. Recall Borges, The Garden of Forking Paths:

"In a riddle whose answer is chess, what is the only word that must not be used?"

If the first word out of the cook's mouth were "Spam," then the sketch would have tipped its hand; the revelation (in a few seconds) that this café very nearly serves only Spam would not have the same weight, would not be as funny. The sketch needs to mislead us for a little while in order to be as absurd as it is. So the cook first mentions a few Spam-free items, essentially as a pacing device. Once the Spam joke well and truly comes into play, the audience is expected to forget that set of facts: The rules of this world have been replaced with new, funnier ones.

This is not to say that the inconsistency is necessary to the comedy. The sketch is not funny because the cook refuses to acknowledge a menu item she mentioned a minute beforehand. It's funny because the cook insists on putting Spam in everything! The inconsistency is incidental, hard to notice, not funny, just comedically convenient. If the sketch were constructed such that the requisite pacing beats were filled by something other than the cook mentioning Spam-free meals, the work overall would be just as effective, having lost nothing for making a tiny bit more sense.

I am equally prepared to believe that the geniuses of Monty Python noticed this inconsistency and figured nobody else would, or that they didn't notice it themselves.

Because "Egg, Sausage, and Bacon" is actually just the name of the dish, not a listing of its ingredients (which are primarily Spam, with a Spam garnish). This is similar to how a Club Sandwich is not actually comprised of a wooden cudgel between two slices of bread.

So, when she asked for "Egg, bacon, Spam, and sausage" without the Spam, she was listing the ingredients of a different dish, and requesting that the signature ingredient be removed.

This is akin to ordering a Lobster Thermidor aux crevettes with a Mornay sauce, garnished with truffle pâté, brandy and a fried egg on top and Spam...but requesting that the chef hold the Spam. It's just not done, you see.

Because Rule of Funny. Anything else would ruin the joke.

One can not simply ask why a character in a World-renown skit didn't alter their choice. If the character had altered their choice, it wouldn't have led to the desired conclusion. Every bit of this skit (and all non-Improv skits) includes a desired reaction from characters, as well as a desired oral response. It's all carefully scripted.

It's akin to the "Come in!" block of a Knock, Knock joke. You won't get the designed laugh if you don't follow protocol.