Well, where is it trying to go? Space / orbit. The most direct way to high altitude is straight up. It will actually turn sideways at some point, but it takes off and climbs rapidly to reach thinner air, which provides less resistance.
Notice that a rocket might have boosters to help it lift off, which it ejects, and at some point it ejects the first stage and switches to the 2nd. The second stage needs much less power to fly in space than the rocket did to leave the ground. So the idea is to get there with as little fuel as possible because a rocket will be mostly fuel and that cuts into the profit margin. Going sideways from the ground would waste fuel going farther through lower altitude and higher pressure air with more drag.
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