Bismihi ta'ala
According to our jurists, there are about twenty five prohibited acts during Ihram, and one of them is tadhleel, or being under a shade for a male during the day while travelling. This means a male cannot be directly under any shelter during the day time when travelling from the Miqat to Meccah al-Mukarramah, but then inside Meccah, he can.
In looking into the wisdom behind this, I have not come accross a reliable reference that explains this, but it seems that one possibility could be that it is a sign of humility. Instead of the person travelling with extravagence and comfort, he commences his spiritual journey of humbling himself by being under the sky.
And Allah knows best.