Pricing is local, so things may be different in your area, and pricing has been all over the place in 2020. Supply has been short, and demand has been high, prices have been high, crazy high on some things.
But for today, right now on the Home Depot web site, just as a reference, 2x250' 12-2 Romex is $176.00, and 3x500' #12 THHN is $171.00.
They sell a lot more Romex, so you get that sheath pretty cheap.
Some places don't sell much THHN and don't pay much attention to their pricing. There are a lot of hardware stores don't sell conduit but have the same six rolls of THHN on the shelf for ten years, hoping someone someday will come through and not care / not notice the ridiculous price. In the meantime they sell a pallet of Romex every weekend.
Now if you're shopping at an electrical supply house - their pricing to the general public, not account holders, generally makes no sense at all. Pricing to electrical contractors, commercial / industrial / institutional customers, etc. with house accounts and negotiated pricing is totally different and makes sense occasionally.