I-92 was proposed, but never built. There were (and I suppose, are) several proposed routes from somewhere in NY to somewhere in ME which cut across NH and VT. The expectation was that it would be a spur to prosperity, especially to the interior of ME, but somehow the numbers never worked out. I recall hearing years ago that VT increasingly objected, ostensibly for environmental but actually for aesthetic reasons, and this was what had driven the final nails in the idea.
Yet still, if you look at a map of the Northeast, it just makes sense.
I thought the suggestion that the old Yankee joke "you can't get there from here" is based on the absence of E-W routes was silly at first, but on reflection, it might be so. The whole site at the link is interesting, though more so around Boston roads than NH ones.