Insufficient voltage, probably. Even though you have it set to constant-on, the internal electronics are probably still active, and causing the lamp to shut off because the lamp is only receiving half the voltage it's expecting. When you connect stuff like this in series the devices basically have to divide up the voltage. If the hub produces 6V, each lamp is only receiving 3V, which may be insufficient for either one to operate.
You could try connecting them in parallel, which would send 6V to each lamp but only half the current. I don't know what effect this would have without knowing what the internal electronics actually do. Best case scenario they'd both work fine (and you'd be able to switch them on and off individually), worst case they'd be dim or not light.