Graph neural networks (GNNs) have recently emerged as powerful tools for solving complex optimization problems, often being employed to approximate solution mappings. Empirical evidence shows that even shallow GNNs (with fewer than ten layers) can achieve strong performance in predicting optimal solutions to linear programming (LP) problems. This finding is somewhat counter-intuitive, as LPs are global optimization problems, while shallow GNNs predict based on local information. Although previous theoretical results suggest that GNNs have the expressive power to solve LPs, they require deep architectures whose depth grows at least polynomially with the problem size, and thus leave the underlying principle of this empirical phenomenon still unclear. In this paper, we examine this phenomenon through the lens of distributed computing and average-case analysis. We establish that the expressive power of GNNs for LPs is closely related to well-studied distributed algorithms for LPs. Specifically, we show that any $d$-round distributed LP algorithm can be simulated by a $d$-depth GNN, and vice versa. In particular, by designing a new distributed LP algorithm and then unrolling it, we prove that constant-depth, constant-width GNNs suffice to solve sparse binary LPs effectively. Here, in contrast with previous analyses focusing on worst-case scenarios, in which we show that GNN depth must increase with problem size by leveraging an impossibility result about distributed LP algorithms, our analysis shifts the focus to the average-case performance, and shows that constant GNN depth then becomes sufficient no matter how large the problem size is. Our theory is validated by numerical results.