Keep it on. At least if the water is circulating through the pipes, it’s less likely to freeze.

Liquid propane in your tank needs heat to vaporize. Basically your tank cools off as your furnace runs. Even if it is -20 ambient, it’s possible that the liquid in the tank is much colder, closer to the boiling point of -44. It’s very possible to have insufficient gas pressure with a -20 ambient temperature.