When said convenience is free.
Users used to online banking the way they normally do A user that doesn't know anything about security and doesn't realize that doing online banking on the same machine where he/she runs LimeWire is a bad thing will certainly not understand why online banking, which used to be great because it was so convenient, now costs $20 per log-in and you have to reboot. And why the stack of use-once CDs? First, CDs are read-only...how are you going to set that the CD has been used? Second, how is this any more secure and convenient than using a Live CD?
Also, GP gave his telephone idea to make it so it can run in Windows using a temporary password (being temporary, it will render keyloggers ineffective). This was to AVOID booting a custom OS.
Here's the other thing though - If someone steals one of your CDs or if you lose an unused one, you're not going to notice (and yes, people, especially those on business, will likely just throw a stack of them in with their laptops). I also feel like your idea was going somewhere as replacing the telephone idea with having your login credentials built into the CD until you said that the CD would have a custom OS, which brings us back to a LiveCD. So I don't see any way in which this will be better than a Live CD.
Plus...banks will have to print so many of these per user, multiplied by the number of users they have..do you hate the environment or something?