Well if this is an "independent" welding distributor my first thought is that they may be concerned about liability of allowing someone to load a hazardous cylinder into a confined space and drive away.
Trust me I have been next to a 5 lb. cylinder when the burst disk let loose, lets just say " I needed new pair of shorts. You never want 20 lbs. of Co2 venting in your vehicle.
If your have to transport inside of your vehicle, pick it up, belt it in, crack a window and go strait home and take it out. I'm not trying to "scare" you just informing you of the risks.
Or two the short answer, they are attempting to increase their profit margins by charging you $20+ for a deliver.