The whole point of the Hunger Games is to pit children against each other in a brutal fight to the death. The idea is to show that the Capitol has complete control, and the districts are powerless to resist.
A tribute winning would undermine the entire point of the Hunger Games. It would suggest that the districts could actually stand up to the Capitol, and that the Capitol's control is not absolute.
That said, there have been tributes who have come very close to winning, and who have shown great courage and skill. But ultimately, the Hunger Games is designed to ensure that no tribute can ever win.