While the answer by Jen does a good job explaining why some possible alternative structures for US courts of appeal (circuit courts) would be unworkable, the real reason why we have such courts is their historical origin.
In the United states, Justices of the Supreme Court regularly traveled through the country. They would stop at particular locations, and hold court together withnwith the local judge of a district court. As as a two-judge court, appeals. Appeals from district court decisions were heard. Some were passed along to the full Supreme Court, particularly ones in which the Justice did not agree with the judge.
Each Justice had a route, or "circuit" which that Justice covered once or twice a year on horseback (or by carriage) spending half or more of his time "riding circuit". The process was quite onerous, and was by far the larger part of the work of a Justice. It allowed decisions to be reviewed by a Supreme Court member at places physically closer to the original trials, and served as a filter on cases to be decided by the full court.
This practice was derived from the older English practice of having Justices in Iter (later known as circuit judges) who traveled through the country, judging cases that had been held awaiting their arrival. (The word "Iter" is related to "Itinerary", the list of places one is scheduled to visit.)
The Marshall Court and Cultural Change, 1815-1835 by G. Edward White (ISBN 978-0195070590) includes a detailed description of the process of circuit riding during the period of 1815-1835, and the way in which proceeding in the circuit courts influenced constitutional jurisprudence and how cases came to the Supreme Court. I recommend this extensive book for better understanding of the origins of many features of the US Judicial system.
Some years after the US Civil war the Circuit Courts officially became the Courts of Appeals and Supreme Court justices stopped "riding circuit", but the geographical divisions continued to be called "circuits", and each circuit is still supervised by a single Justice, who rules on "emergency" applications, often for stays of judgement, or for injunctions.
The division of the US court system into circuits thus is due as much to historical inertia as to careful design, although an alternate design that was an improvement would not be easy to create.