A long time ago some bike shops stocked single cogs, but that was when there were 5 speed cassettes and few choices. Back then few people seemed interested. Today with 6,7,8,9,10,11 speed options, three major manufacturers, often with multiple materials in each width as well as other variations, there would be too many options. I suspect even the really big online shops would struggle. For comparison, look at spokes - few places stock more than the most common types in the most common sizes, let alone 2mm increments from 100mm to 400mm (Rohloff 16" wheel to front 36" wheel)
Think about what's required: you want a replacement cog for the particular cassette you have, out of at least 10 options for your particular combination of manufacturer, number of cogs, material and cost. Sure, you would probably accept a cog out of the next step up or down in the manufacturers range, as long as it was compatible (hint: it probably isn't).
Look online: Wiggle have 84 cassettes listed, ChainReaction have 69 MTB and 56 road cassettes, Starbike have 80 options. Assuming they average 9 cogs per cassette and 20% are duplicates/compatible, that's over 400 different cogs to stock.
(too long for a comment).