In Japanese, the use of particles for time references is generally predicted by whether the time reference is fixed or relative. For fixed time references, the particle
に is used to mark the time word. For relative time references, the particle is usually omitted.
Examples of fixed time references are named days, times, dates, years, etc.
Examples of relative time references are things like 'today', 'yesterday', 'this morning', 'next week', etc.
Moving specifically to your example, you haven't included the meaning you are attempting to translate into Japanese. I am assuming you intended the meaning "Santa didn't come this morning". If so, your example contains a relative time reference ('this morning') and therefore the particle can be omitted.
今朝サンタさんが来なかった。(This is grammatically acceptable for the meaning "Santa did not come this morning").
If, on the other hand, you were using a fixed time reference, the sentence would be something like this:
12月25日にサンタさんが来なかった。 (the particle に is need for a fixed time reference).
I could add that 今朝で is not actually grammatically incorrect in itself, but it introduces a different meaning than what I assume you intended. 今朝で would be like 'as of this morning' in English, referencing a time period before and up to the stated time. But when using particles to connect events to times ('on' a day or date, 'at' a time, etc), the particle に is used in Japanese.