Is it also because Shinji probably screams considerably less than Zenitsu, perhaps? And probably less noisy about it too? Who knows. Screaming merch isn't something one would want to get, though.

When Shinji points out the toy in Zenitsu's hands, he raises it so Shinji can take a better look.

"Yeah! Isn't it cute?? There was one that had my clothes on too, but I got this one only."

What is shame.