Hi Gurjeet,
Well let me try to interpret this from another angle. I am not sure whether this can be of any big help, but does not harm reading it through I guess 
For the PGI [in returns case the PGR] Process the Cost for the Material Document Accounting entries is determined from the Material Master Valuation.
VPRS in Sales Order is also derived from the Material Master Valuation Field.
While I am not too familiar with the working of Pricing Procedure in the delivery process[ aware of all the settings stuff but never worked in actual real time] but that looks like the most likely place from which you are getting the price too in this case.
The only meaningful suggestion I can give is that you can check if it is a Moving Average or the Standard Cost that is used for valuation. That may also explain the difference. I am sure you looked at this place already.
I agree with you that there is no Copy Control stuff from Order to Delivery for the Price Conditions.
I will see and find if there is any way of knowing this for sure.
Have a good one.
Thanks.