IIRC the story is it basically predates when they figured out exactly what a "national park" is supposed to be as distinct from other kinds of national-whatever, and it stuck.

Similar story for the one in Arkansas I think. Both would probably have some other designation if they were created today.

[EDIT] Oh LOL I was very wrong, that was just created. What I wrote was basically true of Hot Springs, not Gateway. Yeah that's a WTF.