You must have been on fully automatic exposure mode (both speed and aperture set to automatic). With f/5.6, the -2 EV image would have had to be exposed for 1/35 sec. and the camera's logic decided that that was too long (as it would have a high chance to be shaky).
So it decided to open up the aperture instead.
As you feared, this is generally not desireable for HDR merges, as the image will have a narrower DoF as the others. But in this case it doesn't look that relevant as you do not have any foreground details.
Next time, set your desired aperture value manually, letting the camera only change the time (and possibly the ISO).