Yep, it's the service known as "Fast Return." GameFly will send games before receiving your returns physically, if the postal service scans the envelope to let GF know the returns are on their way.
Then they send your next available title to keep you playing, and not waiting. Unfortunately, it doesn't always work as it is up to the postal employees to actually scan the envelope [which is hit-or-miss at best.]
Lucky if you do, get used to it if you don't.

The support pages touch on various subjects such as this one:
https://gamefly.custhelp.com/app/answers/detail/a_id/106