I can't tell you exactly why your horse is doing that but I can tell you the two scenarios where my horse does this.
A. Are you sure you're not accidentally blocking her in that direction? If I get too ahead of my horse on the longe, he will change direction or stop because he thinks that's what I'm asking for. Can you ask someone else to longe her and see if it happens?
B. Your horse could just be fresh. I roundpen my horse sometimes and when he's being fresh he will challenge me by trying to choose the direction he goes in. For me and my horse this is what it is most often, in which case I will apply a lot of pressure in the direction he insists on going in, make him switch, and release some of the pressure when he goes the direction I want.
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