In short, Walter Mitty's wife doesn't think much about her husband's daydreams, as she isn't really privy to his private thoughts.
In the opening daydream, Walter Mitty is a respected naval commander. As the action intensifies, he is suddenly brought back to reality by the complaints of his wife. She scolds him for driving too fast, insisting that he knows that she doesn't "like to go more than forty" miles per hour and is therefore disrespecting her wishes. The fact that her husband had been speeding because he was daydreaming while driving is lost on her. In fact, she recommends that he is having "one of [his] days" and that he should really see a doctor for his seemingly troubled mental state.
Later, Walter Mitty is in the midst of a daydream about bravely volunteering to fly solo "through hell" to reach an "ammunition dump." He is again forced to return to reality when his wife raps him on the shoulder, scolding him for not being in a place where she could easily locate him. In a subdued effort to stand up to his wife, Walter Mitty asks her whether she ever considers that he could be thinking about things when she interrupts him. His wife is so baffled by such a proposition that she just "look[s] at him." Finally she responds that she needs to take his temperature to try to explain this bizarre comment.
Walter Mitty's wife is so self-absorbed in her own daily schedule and in dictating the needs of her husband that his daydreams are not a concern of hers.