I never noticed this and it’s really bugging me now
It’s a function of the overall velocity of the air as it leaves your mouth.
Your lips are more open during the “haaaa” sound, so the same volume of air has a wider pathway to travel through, so it can move slower. This means that as the air travels, it had less time to siphon heat from the skin you’re using to sense the temperature.
ifesbob 