It's about convenience and also distribution costs. It simply isn't very efficient putting water into a bunch of tiny bottles and selling them individually.

If you want cheap "bottled" water, find a place that has a reverse-osmosis vending machine. Basically, you bring your own bottles (it's better if you get the big 3 or 5-gallon jugs), put them in, put in some money, press a button, and it refills the bottle using the RO equipment in the machine. The cost is generally pretty cheap: $0.25-50 per gallon (I pay $0.37 locally). It's not as cheap as tap obviously, but it's a lot cheaper than gasoline, or pre-packaged bottled water, and a whole lot cheaper than overpriced fancy brands like Evian.

I never did understand this especially for distilled water

bottled water and printer ink, the most expensive liquids on the planet.

The most expensive liquid is actually bull semen. Yes, that's a real product. Dairy/cattle farmers often need it.