I'm only speculating here, but there must be some kind of chicken-or-egg thing going on here. Maybe the "this" scope can't be read until the Application.cfc object is actually instantiated (which wouldn't actually be until after the pseudo-constructor has completed).
I guess one could test this theory - define a custom "this" variable in Application.cfc (like this.myCustomVariable). Then try to use it in another variable within the pseudo-constructor (like <cfset variables.myCustomVariable = this.myCustomVariable). See if that works.
Then try the same thing in a custom object (like myCustomObject.cfc). See if that works.
I may try this myself later as I don't have time right now. But my suspicion is that both will behave the same - access to "this" scope variables cannot be done inside pseudo-constructor because the object is in the creation process and the "this" scope doesn't actually exist yet.
-Carl V.