Thermal printing paper is fairly cheap. The cheapest method to thermal print is thermo direct, where the printer does not need any other material than the paper (It's what cash registers use, also the same tech used in the GB printer) but it will fade under UV.
For this, the paper must be reactive to the heat of the print head, making it a bit more expensive than a roll of "plain" paper, which is easily offset by the costs saved on heat transfer ink ribbon.