Bob,
Your GTAW torch power cable has more than a tube filled with water, the tube also has a power cable. The coolant keeps the cable from melting the tube.
Most GTAW torch coolants that can be purchased are bottled Glycol (anti-freeze).
In a closed GTAW coolant system, the biggest advantage of glycol over water is corrosion prevention. If particals build up in the coolant they will clog the line at the torch head and the torch will over heat soon after. The lower ionization potential of the coolant is supposed to help with the High Frequency for arc starting and alternating current.