I see no particular reason, siares. Perhaps the translator of this little saying decided that "To never have been born" was closer to the original Greek. Perhaps this remark was made to people who had already been born.
Thanks perpend and Englishmypassin.
EMP, I thought it sounded like something possible for those born to be unborn with the 'may', as opposed how it would sound with 'might' or 'could'. I thought 'may' indicated a general statement and the perfect tense was there for a different reason.