Well, they did. Viola [1] was a very early browser. As well as Grail, mentioned in a sibling, there was at least MMM [2] with OCaml applets. (Those were choices for Emacs browse-url of the right vintage.) There must have been Lisp applets, but I don't remember an implementation; at least Emacs/W3 didn't have them. There was the question of security/trust, of course.
For what it's worth, the very early web looked primitive and rather uninteresting if you already had scripted networked hypermedia (with NeWS), knew of Zanadu, and entirely missed the significance of the protocol and naming system. One learns, at least.
I was going to mention Viola, which is a truly impressive application. Diving into the Viola docs, notably the paper and book, is strongly recommended.
There's also BrowseX, a Tcl/Tk based web browser which supported, you guessed it, Tcl-based web scripts. It was notably included on the Linux Bootable Business Card (LNX-BBC) micro-distribution, see a Linux Journal review here:
For what it's worth, the very early web looked primitive and rather uninteresting if you already had scripted networked hypermedia (with NeWS), knew of Zanadu, and entirely missed the significance of the protocol and naming system. One learns, at least.
1. http://viola.org 2. https://github.com/aryx/fork-mmm