I used to sell mb. I asked the question about a 2 door cla at euro training in Valencia back in may 2013. An mb representative told me that there would definitely not be a 2 door version due to it taking the focus off the c coupe.
The cla was released as a unique car the the market with no competitor building an equivalent car (compact 4 door coupe). If they build a 2 door version it would be just another coupe and would no longer stand alone.