Costco does it because it's easy and makes for nice marketing.
I think about it this way - if "air" is already 78% nitrogen and you believe the folks that say "air" will escape faster than nitrogen. After a few refills then you should be at a much higher concentration of nitrogen! After all, it's the other stuff that must be escaping.
BTW - I do have my tires changed and topped off at Costco. Both cars had to go in and get air added with this last cold spell. So, to me, marketing fluff.
Edit: If they store nitrogen in liquid form, they can get a lot in a tank. May end up being cost effective over maintaining a large compressor setup.