Indeed! Just think of all that jet fuel being sacrificed just to bring the keys back and forth. Sacrifices must be made for the greater good.
In reality there was no better way of doing it due to certain circumstances. Also, far from all keys are going back to the US. There are orders going out to the US, Brazil, South Korea, Japan, Italy, UK, Germany, Sweden, France, Spain, Portugal, Turkey, The Netherlands, Austria, Canada, Czech Republic and others (just off the top of my head). So it's not like they're all coming to Sweden with a return trip to the US - even if it's certainly true that most orders are from the US.
Doing all the distribution myself is also the only way I'll be able to know that the keys have actually been shipped on time and that noone gets scammed. Sad but true. Not that I think we have a lot of key cap scammers lurking here but still, it's one added benefit of doing it this way.
It's funny to see the various locations they'll be shipped to. The most random location so far is the one going to a golf course in Turkey