What would be the point of it? Cheney filled an important gap in Bush's résumé--his lack of national security experience. Other people mentioned as potential running mates--Tom Ridge of Pennsylvania, John Engler of Michigan--could help Bush carry large, marginal states. John Danforth as an Episcopalian priest could appeal to religious voters (though he was not a favorite of the Christian Right) and political moderates, and MO (which had gone for Clinton by 47.54%-41.24% in 1996) was still considered to be a swing state in 2000. Kentucky was a rather small state and one almost certain to vote for Bush in November if the national election was at all close. (Yes, Clinton carried it in 1996--but by only 45.84%-44.88% while he was winning the nation as a whole by 8.52%.
https://en.wikipedia.org/wiki/1996_United_States_presidential_election) McConnell had no special national security expertise. He was not personable or a great debater. He was skilled in the ways of Senate maneuvering, but that would be all the more reason to keep him in the Senate. His signature issue--opposition to campaign finance reform--was not a popular one, and it would alienate John McCain's followers, whom Bush wanted to reconcile. It's not surprising that McConnell wasn't even on the rather long list of potential running mates speculated on by the media:
https://en.wikipedia.org/wiki/2000_Republican_Party_vice_presidential_candidate_selection
Indeed, given McConnell's negatives, I wouldn't even be surprised if choosing him would cost Bush Florida and therefore the election. Very few people vote on the basis of vice-presidential candidates, but it would take very few people to change the result of Florida in 2000...