But why can't the payload be in the Request object?

From the api docs:

    class urllib.request.Request(url, data=None, headers={}, origin_req_host=None, unverifiable=False, method=None)

    data must be an object specifying additional data to send to the server, or None if no such data is needed. Currently HTTP requests are the only ones that use data. The supported object types include bytes, file-like objects, and iterables. 

https://docs.python.org/3.7/library/urllib.request.html#urllib.request.Request