Convert an entire range to uppercase without looping through all the cells

Is there a method I can use to convert the whole range in one line?

Yes you can convert without looping. Try this

Sub Sample()
    [A1:A20] = [INDEX(UPPER(A1:A20),)]
End Sub

Alternatively, using a variable range, try this:

Sub Sample()
    Dim rng As Range
    Set rng = Range("A1:A20")
    rng = Evaluate("index(upper(" & rng.Address & "),)")
End Sub

As per your example

W.Range("A1:A20") = [index(upper(A1:A20),)]

Explanation

There are two parts to [A1:A20] = [INDEX(UPPER(A1:A20),)]

PART 1

As shown above, [A1:A20] is nothing but just a short way of writing Range("A1:A20")

PART 2

[INDEX(UPPER(A1:A20),)]

Index and Upper are worksheet functions. So you can use Application.Worksheetfunction.Index() but since we don't have an equivalent of UPPER like Application.Worksheetfunction.UPPER(), we can only write it as [cell] = [UPPER(cell)]

Now with that line we are instructing VBA to return an array and this is where INDEX comes into play. (As we are aware, there are two forms of the INDEX function: the array form and the reference form.) By not specifying a row or a column of the array, we are simply letting Excel know that we want the whole array. (Mentioned in VBA help as well) So basically what we are doing is converting each cell in [A1:A20] into uppercase

You can't do it in one line like that, but you can do it for a given range like:

Sub Test()
    Dim Rng As Range
    Dim c As Range

    Set Rng = ActiveSheet.Range("A1:A20")
    For Each c In Rng
        c.Value = UCase(c.Value)
    Next c
End Sub

Which is rather simple and intuitive.