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Because a 20kHz square wave has infinite bandwidth (it's composed of an infinite number of harmonics), but 40kHz sampling can only represent up to 20kHz of bandwidth... and then you're left with the first harmonic only, which is a sine wave.
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@xiphmont's amazing video on this subject. He dispels all of the typical myths and misconceptions about digital audio with awesome hands-on demos. https://xiph.org/video/vid2.shtml … -
Also I should note that the Nyquist theorem requires *excluding* exactly at half the Nyquist frequency. A 20kHz signal sampled at 40kHz is a corner case - the phase and amplitude are ambiguous, and good resampling algorithms will actually *filter out* such a signal.
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