There is no good reason. Sometimes phrases are written unattached, with spaces, as in “post office”. Sometimes they are attached by hyphens: “cart-wheel”, “willy-nilly”. Sometimes they are attached with nothing in between: “blackbird”, “nevertheless”.
As a certain combination has been in longer use, as it is more frequent, and as its meaning differs more from what you would expect based on its separate elements, the chance becomes greater that it is written attached. (Hyphens make it look less firmly attached than no hyphens.) There are many words that are often spelled in two or three of the ways I mentioned above. But that is not the case with “nevertheless”: in modern English, it is always spelled just like that, never with spaces or hyphens. Spaces would indicate someone who was still learning English, like a child or a foreigner.