Admittedly you'd have to pay for a plastic case, assembly costs, an envelope and stamps. But if I can get a 16GB flash drive for $8 with free shipping [2] the plastic case, assembly etc can't be that expensive!
[1] https://github.com/conorpp/u2f-zero [2] https://www.amazon.com/SanDisk-Cruzer-Low-Profile-Drive-SDCZ...