I'm wondering why the analogue ground of the ADC and digital ground are connected internally on the boards like Nano, Uno, Due etc.
I'd like to use a Nano as a controller for audio circuits and need an absolute isolation of analogue and digital grounds. Why doesn't Arduino allow to build individual grounding concepts?
Because it simply isn't necessary.
Perhaps more importantly, because it is intended to be
foolproof. To separate the grounds you would have to provide an extra terminal on the board, and a cuttable link on the board for the rare case when someone
actually needed a separate analog ground. The digital and analog grounds
must be connected to ensure no significant current passes from one to the other so to be foolproof, it is necessary that special action be taken to separate them.
In general, for a 12 bit ADC, it is sufficient that the link between the two be the Arduino PCB itself because all analog inputs
must be "star" grounded to this point however you wire them.