Why is it por favor not para favor?

"Por" in this context basically means "as" - so, it literally means something like "as a favor". So, it would mean "Could you do this as a favor for me?", though it is usually translated as "Please", since it is more common in English to say that.

On the other hand, "para favor" or, more gramatically correct, "para el favor" would mean "for the favor", which doesn't make much sense, since you are expected to do a favor to benefit a person, not to do something to benefit the favor!