My hunch is low volume and an enterprise-leaning customer base. Engineers aren't cheap, and those who can build security-sensitive products even less so.
When I bought a (single) Yubikey from their website late last year, it was Fedexed to me directly from their Palo Alto downtown office, not some distribution center in the middle of nowhere. That can't be cheap.
If you order a key and it comes from an Amazon warehouse, are you going to be worried about a supply chain attack? Maybe that's a benefit of sending by direct FedEx?
