Assuming this is actually true, I would guess it can be explained by available surface areas during the lathering process.
Bubble formation is induced by the incorporation of air into the soap solution (sort of like the physics of how whipped cream forms), and this typically happens at the interface between surfaces being rubbed together. At the hand-skin interface, the surface area is just the area of contact. But when rubbing soap into your hair, there is both the hand-hair interface plus the rubbing together of individual hair strands, which collectively have a very large surface area.
With all the pockets of air between individual hair strands, there is ample opportunity for incorporation of air into the soap when they are rubbed together, generating a quicker lather than that which occurs between two flat surfaces rubbed together,