I believe anytime you make a cash transaction over $10,000, the retailer needs to report it to the IRS.
http://www.irs.gov/businesses/small/...148857,00.html
So, the red flag should have gone off to the OP that he didn't have to fill out any IRS form when he gave the finance manager the cash. As for the duffle bag comment, $20,000 in cash, it is simply 200 Benjamin's.
As for an actual receipt, the contract is your receipt as long as it's stated the $20,000 cash was written on the document and paid at the time of purchase.
OP, if they are not returning you calls, you need to drive 1 1/2 hours with your lawyer to the dealership. If not, then it's your $20,000 loss.