Maybe she has a cute house or new furniture that she wants to show off. Maybe it's easier for her to not have to move the presents and drive to someone else's house. Maybe she's just more comfortable in her own house.
I know you're not supposed to HOST your own shower. But I don't see why she couldn't have it at her house, as long as she's not the one doing ALL the hosting. Basically, she's just providing the location.
You could still make, address, and send the invitations. Plan and organize games, make or order food and beverages, handle any table and chair rentals, do all the decorations, and (of course) coordinate all the clean-up afterwards (maybe with a friend or two).