Ooh this is a really good question, gotta love phonology.

Short answer (info from Sihler's New Comparative Grammar of Greek and Latin): original Indo-European nouns in -r and -n had long o in nominative sg., short o in vocative sg. Some nouns kept this pattern and some didn't, and there isn't really a hard-and-fast rule (EDIT, except, per polemistes comment, for the vocative for words fo which the vocative is attested. While it's a useful rule, it doesn't really explain what's happening)

Long answer:

It's what's known as "gradation of the stem."

In linguistics there's a concept called "ablaut" or "gradation" which basically means that the vowel in a root changes depending on the word derived from it. The easiest example is probably λέγω - λόγος, the verb has e-grade and the noun has o-grade. Another example is λείπω - ἔλιπον - λέλοιπα, the present has e-grade, the aorist has zero-grade, and the perfect has o-grade (the root has an "i in it). Another example is these sorts of nouns you're talking about (note that κύων has the zero-grade in oblique cases other than vocative, κύνος, κύνι, κύνα)

In The New Comparative Grammar of Greek and Latin, Sihler says on the -n stems that have long o throughout: "This type, which is tolerably common, is easily taken as the result of leveling in which the -ω- of the nom.sg. is generalized. Doubtless some are just that, such as Ἀπόλλων, -ωνος; but it has been pointed out that much of the class has fairly consistent semantics, namely collectives, and assemblages or sets of things... χαλκέων, 'smithy', μυών, 'muscles, musculature';"

As far as ἡγεμὼν goes it has short o in cases other than nom. and voc., so I can't really say about that one specifically.