It’s unlikely it’s the theme. You could do a quick test by setting both to the same twenty* theme for a few minutes. It’s more likely geographic.
When a user is viewing an embedded YouTube video, then their browser is directly connecting to YouTube.
It doesn’t have anything to do with WordPress or your theme. It’s something to do with their browser.
It may be cookies, it may be geographic restrictions, it might be age restrictions, or it may be something else entirely, but it’s almost certainly not your WordPress install.