What if your spouse insisted that it be put in a joint account? Because everything I own is his and vice versa.
To answer your question, if the current status of your finances is "everything I own is his and vice versa", and you both are happy with that, and you've both contributed to that, then keeping an inheritance 'to yourself' could upset that balance, but usually talking it out and some time to process the emotions could help. Though I keep it to myself, if anyone I know gets a windfall I do get a bit jealous because I haven't and won't have any type of financial windfall events in my life. But then I get over it. It's a bit harder if it's someone you're married to.
There are a lot of variables that could be part of this discussion... And some of it depends on the past financial history of your relationship. If you already have separate accounts then keeping it separate may be fine. If everything is joint, with years of unequal earning going towards a common goal of FI and maybe RE, then keeping it separate may be divisive.
If my spouse had just spent the last 5 years paying off my student loans or debt I brought to the marriage, and I received an inheritance, then I would think it would be fair for that to become joint money, and to mix it with our other joint accounts so that is basically unrecognizable as a separate amount.
If I made far more than my spouse but also worked more hours and had less life flexibility, then I may consider keeping it 'for myself' if all other financial bases are covered, and having it as something I could spend however I want.
But honestly, we can only give our opinions based on our own situations (which for me is a currently divorced male). For me, If my (future) spouse received an inheritance, I'd like her to keep it as hers. I would like a future spouse to be financially independent of me, and always have the financial option of leaving if the relationship doesn't work. I like knowing she's with me every day be cause she wants to be, not because she has to be.
If I received an inheritance, it gets trickier. I don't know what I'd want to do with it in this hypothetical future. It does depend on our joint and individual financial positions. If we don't need it, then I may want to use it to fulfill an expensive dream option, now that it wouldn't hurt financially to do so. Honestly, whatever I'd pick would really benefit us both, but would be more fun for me just by virtue of it being one of my 'lottery fantasies'... land/travel/investments.