Blood concentration typically reaches its maximum roughly 24 hours following a dose. That means the lowest point comes right before the next shot, then climbs again toward a peak about 24h afterward. Right after injecting, levels are still low, though they ought to be on the way up.
If the cause were the medication fading out, you would expect it to be worse before the next dose rather than after. And if nausea were the culprit as a side effect, it ought to peak 24 hours post-dose.
My speculation, and it is only speculation, is that this might be mild nausea while blood levels climb, since distinguishing that from hunger can be genuinely difficult at times. During a year on low dose ozempic, I dealt with both nausea and hunger; I was taking it to counter constant starvation after dropping 70kg without glps. Often I was hungry and nauseous simultaneously, or unable to separate the two, or I could settle the nausea with a small piece of chocolate or some sugared ginger.
Testing split doses to find out whether that helps is not difficult.