As far as I remember, there are only two situations where I can pray comfortably with my wife alone; when we were in front of the table during meals (when kids are away) and when we were inside the car before driving. But at the early stage of our marriage, I was not really comfortable praying with her even during meals and inside the car, but since I am the husband (the head of the family) then I have to lead the prayer. Now I am used to it.
Maybe it’s just a matter of initiating a prayer time with our spouse and do it regularly ‘til we get used to it (better late than never). I didn’t mind much not praying alone with my wife ‘til I read your posting. I think this is something that we have to ask wisdom and guidance from the Lord and share to others who are struggling the same problem.