Bigirishape, that's something I've noticed as well. Living on the other end of I-65, I travel to the Lexington/Frankfort areas for work, and to Nashville some for fun. There is definitely a big gap in the industry in Kentucky.
I would suspect politics have played a huge, if not quiet, role in this fact. When I was making wine and trying to buy different styles over the Internet, I quickly found that no one could ship it to KY, due in large part to legislation in place to protect the Bourbon industry. It seems that "foreign" wine is a threat to KY's unique product, and it is illegal to ship alcohol not produced in Kentucky, to Kentucky.
In that same vein, I would suspect that it is very difficult to establish a craft brewery in Kentucky because it creates competition for the Bourbon folks. Maybe someone who has done the initial research can weigh in here, but this is just my $.02.