Shirou’s catchphrase. He says it when faced with things that make him wonder from the bottom of his heart, like a conditioned response.
Hey, did you know that originally Fate/stay night was going to have four routes? But, for some reason now there are only three. I wonder why.

Fate/side material: Fate Encyclopedia

As soon as it becomes a derivative work, there are cases where things like stock phrases or signature phrases are strangely picked up and called repeatedly. Even if the original author didn’t intend to do that, by the moment they realize it the combination of that character = that phrase has been done. Today as well we are friends that exterminate Nyanpasu in secret.
Er, with that said, it feels like Illya’s old brother Shirou often said Why, Why.

PRISMA material/petit: Encyclopedia of Prisma Illya MOVIE