Is "puzzled why" correct as well? Is it just a choice of style? Or is there a difference in meaning? And if so, I'm curious (as to) what that difference is.

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Grammatical rules that apply to units larger than a word apply only to constituents.
"Puzzled why", however, is not a constituent, but rather a string taken from a sentence.

The psych predicate adjective (be) puzzled can take a number of complements, including tensed that- and wh-clauses

  • He was puzzled why she hadn't arrived yet.
  • He was puzzled that she hadn't arrived yet.

and a number of other constructions, often with prepositions

  • He was puzzled at Bill's expression.
  • He's puzzled about the circus.
  • He was puzzled at Mary's leaving early.

There is also a Passive construction (like most psych predicates, which often come originally from passive participles), which allows a by-agent.

  • He was puzzled by Bill's expression. ~ Bill's expression puzzled him .

As to the as to, that's just a longer (and optional) compound preposition governed by puzzled, like at and about.

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