I'm an Orthodox Jew, and as a married woman, I keep my hair covered. While I have fun with my head coverings, I have a permanent case of hat hair, so I try to let my curls stay free at home (which I'm allowed to do). I wear berets, hats, and scarves, but I don't wear a wig. Here's one reason for that...
I've tried on wigs for fun. Four of them were "traditional" wigs from a professional Jewish wigmaker. All were straight. While one did look pretty on me, they all looked ridiculous because I didn't recognize my own face with the wig on. Then, I went to a beauty supply store and tried on two curly wigs. They were totally synthetic and looked fake, but they looked so much better on me than the more natural wigs.
I was told that while Jewish wigmakers do sometimes make curly wigs, they rarely look natural. Since most of the women who wear wigs want straight hair, it doesn't matter.
I just try to take good care of my curls and I'm proud of them, even if I have to cover them most of the time. And it's not a Jewish thing. Lots of Jews have naturally straight hair, and they're the ones who wish for curls.