A PWM signal contains 2 things, amplitude and time. A motor needs both. A pwm fan is in a constant state of trying to turn on. If you cut the signal time down too far, the motor literally doesn't see enough current to actually kick it over to the next cycle, resultant cycles end up similar, the fan motor loosing enough force to overcome the inertial barrier created by the resistance inherent in any motor.
Think of it this way. if you weighed 240lbs, and you punched a door as hard as you could, would you expect the door to open. No. Now take that 240lbs and get a running start, then hit the door. Door gonna open. Same theory. Cur the pwm signal down too much, the motor literally cant get enough of a running start to hit the door hard...