Little little mice that scurry and scrape hoping nothing more in life but to manage to exist escaping the notice of those who's interest could only mean a swift death.
Where you going to get a psychiatrist in depression era America? you can barely get one now. Plus at that point he had killed someone, prison would have been a best case scenario; Curley formed a lynch mob to come get him
George did Lenny a favour by giving him a quick death while he was happy.