Based upon the most recent PICAXE Manual 1 (Rev 6.6) page 8 the 20M has no PWM capabilities.
PWM is available on the 08M, (pin2) 18X (pin3) and 28X1 (C.1 & C.2) and 40X1 (C1 & C2).
The PWMOUT command is available for the 14M, 18X, 28X1 and 40X1.
The HPWM command is available for the 14M, 28X1 and 40X1.