With the routine of digital effects, those are no longer the expensive things (they're still not what I'd say is cheap, but they're not the things that hold up concepts anymore). Now it's size of cast, costuming, and locations.
This is true, and why fantasy stuff tends to be wildly expensive - cast, costuming, locations, as you say.
With a D&D show you'd also potentially face some really serious make-up costs and/or knock-on costs (reduced shooting time, etc.), if using humanoid races, dragonborn, tieflings, etc.
On top of all that, if you wanted actual monsters, whilst as you say CGI is far cheaper than it was, you'd still be looking at some "WHOA!"-type costs, for say, a beholder or a dragon actually involved in a fight (even in the ultra-expensive GoT, it's obvious how brief they're keeping the CGI shots).
Certain settings/setups could do things cheaper overall, of course.
However, there is a great example of the above format. The excellent Black Mirror series manages to bring many different stories with different actors and actresses having only in common a dystopic and different every time black future. I can't see why it can't be done with dnd. Black Mirror as the hypothetical dnd series is not a very expensive production. It is based more on the excellent story and the bleak atmosphere. There are way too many good stories from the dnd tradition that is pity to not be exploited by the such a chance.
It could be done, but just because someone could be done, doesn't mean it will be.
Black Mirror is an experimental and risky show from a channel which is partially publicly funded and has a mandate (for that funding) to make experimental and risky shows.
US Network television does not like experiments or risk. Pay channels are a bit more open, but I've not seen anything quite that risky.
I'm interested to know what "good stories from the D&D tradition" you're thinking of, though, which are they? I think if you went for a "dungeon horror" kind of angle, that could be cool actually. Staying away from heroism, focusing on deadly traps, backstabs, horrifying undead/monsters (Aboleth could be great and done cheaply), and so on.