You were on the right track with self-avoiding walks. The particular walks you're interested in are the more specific self-avoiding _rook_ walks. Wolfram mathworld gives a short table of such rook walks for $m\times n$ rectangles. Furthermore, the last person to ask a similar question got an answer which linked to this OEIS sequence of the first 27 such square rook walk counts. To answer your question directly, the number of self-avoiding rook walks on a $20\times20$ grid is this:
1523344971704879993080742810319229690899454255323294555776029866737355060592877569255844
and I'm not aware of a good way to calculate it.