This is behaviour by design. The _data property is queried outside the scope of the test, as NUnit uses this property in order to analyse and identify the test (which is a step that occurs prior to any execution). If this is messing with your coverage metrics and making your code look bad, I recommend suppressing the coverage for this property with an '//ncrunch: no coverage' comment.
Why would one want this behavior? It is covered as I would have expect with other covering tools and I would prefer avoid placing ncrunch comments in code when I utilize functionality of NUnit.
Are there any plans making this at least as an option (i.e. so I do get coverage on TestCaseSource data)?
The behaviour is designed according to technical constraints. There is no test that actually owns the coverage of the _data property - it is executed during the analysis step when the test framework uses reflection to discover tests.
For the lines to be covered, they would need to be somehow assigned to a particular test (i.e. the fixture, or some kind of placeholder). The effort involved in doing this is significant, as analysis-time behaviour within NCrunch is very different to run-time behaviour, so unfortunately I don't see this changing any time soon. Sorry.