And work is just a measure of the transfer of energy. So we can define momentum as the ability to change in momentum; the ability to move things. Perhaps this isn't done because momentum has direction, but energy doesn't.
On top of that "ability to do work" as a definition has a few problems.
Firstly it suggests that 0 energy means that it can't do any work. But zero energy is defined as the energy of something motionless in an abyss -- like a free stationary particle. This is a useful number to assign 0 energy, but it is quite possible to have less energy then that, and there are no special properties for such things (except for restricted motion). The 0 point of energy isn't that special.
Secondly, it suggests that more energy means a greater ability to do work. But really it's the energy difference between the lowest energy and the highest energy in the system that allows work to be done, not the absolute value. So if you have a tank of hot water, and a tank of cold water, there is more ability to do work then just a hot tank: the hot and cold water could be mixed together in ways that create motion (for instance), but the hot tank is uniform so it can't do anything, even though it does have more energy on an absolute scale. This is related to the first point about how the zero point of energy is arbitrary.
So again, I'd say that like momentum, energy is just a "mathematic idea" too, or more precisely it's just a "conserved quantity".