Interesting question. Even leaving aside Thorin, why wouldn't one of his forebears have thought of doing so?
Perhaps the legacies of the ruined Nogrod and Belegost soured the Dwarves on the Ered Luin, though we're told in UT and LOTR that they retained mines there that were still in use at the time of the War of the Ring.
Also, establishing a new kingdom there could have been seen as a sign of disrespect, especially when the vanished cities had been the homes of other clans, the Firebeards and the Longbeams.
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