Mariel, I have seen doubles do that as well, may just be a natural
occurrence in the double, and also have one single form
seedling that does so on the first bloom, but not on rebloom.
Can't say why that is, but I consider it a flaw in the seedling.
I can tell you the what, but not the why! This is how many double daylilies are formed (others have an extra tepal whorl). They are stamens that have what is called "petaloid" tissue on them. Petaloid is an adjective that means something that looks like a petal but isn't. There are pictures of this in the AHS Daylily Dictionary:
