It may help to provide the code implemented.
Perhaps this from the documentation of the procedure provides a clue:
Memory Considerations
The HPSPLIT procedure is designed for high-performance computing. As a result, it does not create utility files but rather stores all the data in memory. Data sets that have a large number of predictor variables and a large number of response levels can cause PROC HPSPLIT to run out of memory. One way to overcome this problem is to give SAS more memory to use. Another way is to use fewer threads, which reduces the memory that is required. You can use the NTHREADS= option in the PERFORMANCE statement to specify the number of threads. For more information, see the section PERFORMANCE Statement.
The combination of the number of target variable levels and predictor variables affect the memory usage. So the set with fewer target variable levels didn't have the issue but the other does.
Options actually used may allow more specific suggestions.