I am sure we were not alone in having a child who loved the word "why." Whenever something was asked for, or a task needed doing, the question was always there: "Why?" It can be quite exhausting when you've young children, challenging to deal with when they are teenagers, and difficult to answer when they're older. That doesn't mean that it isn't a valid question.
I remember particularly having a long conversation with some other parents about the importance of answering this question well when your offspring are in their teenage years. They get to that stage when they won't just do things on your say so, but want to have an understanding of the reasoning, the rationale behind why you want them to do particular things or behave in a certain way. They are building their worldview and want to understand yours.
Have you ever wondered whether God as our Father should use that very same question that we find so hard, and ask it of us? So that every time we asked for something in prayer, the answer was "why?" It is so easy just to ask God to fix things for us, but it would challenge us to think about our motivation for the things we pray for, the outcomes we are looking for and how they align with God's eternal purposes and will for our lives.
Fanciful? No at all, as there are clear examples of it in the Bible. Consider Paul's great prayer Ephesians 3. Twice he prays for power for God's people, but both times he explains why he is praying this - not in response to some immediate need, but so they might become the people that God needs them to be, and in accordance with what God has already said (you can read more on this here).
So far from being just an annoying thing, the question "why?" actually brings depth to praying and more readily aligns our prayers to God's purposes, so making it much easier for God to act in accordance with our prayers.