Good question, but I've also seen sleeve bearings weld themselves to the retaining washer at their face, without welding to the shaft. Same scenario, in principle.
I can imagine three contributing factors:
1. Thermal mass: Axle has better ability to carry heat away and dissipate it, remaining cooler than nut.
2. Lubrication: Perhaps grease or gear oil flows better thru the cylindrical capillary between axle stub and inner race of bearing, than between nut and the same.
3. Speed: Rim speed increases with radius, and outer rim of inner race at nut might be 20% to 30% larger than radius of inner portion of inner race at axle stub. Speed is linearly proportional to radius, but heat generated is square of speed, so difference in localized heating can be 1.7x higher for a 30% larger radius.
Likely all three of these factors played varying small parts. Remember, a bearing that has been press fit at room temperature will often not remain a press fit when heated, it could have several ten-thousandths of an inch play, at the scale of a small trailer axle bearing. Anyone who's ever played the game of heating a bearing and sliding it off by hand knows that trick.