Why bypassing Peleliu carried supply-line risk

Would it have been better to go directly toward Iwo Jima rather than attack Peleliu?

Not necessarily, because leaving Peleliu in enemy hands created risk close to the advancing supply line.

Peleliu's position near the projected supply route made an enemy-held base a security concern. Taking it offered a more secure line for the subsequent advance. Estimates that the isolated base could not support substantial operations did not guarantee that the enemy would remain inactive. Planning therefore had to allow for attempts to interfere with shipping beyond what those estimates treated as feasible.