Why am i getting denied for an auto loan with good credit?

I have a 737 fico score for my credit card history. I had my credit checked by kia and they had my auto score at 723… Even tho i never purchased a car before. I went to honda and almost bought a car. Honda also approved me with a credit score check at 694. But when i went to my credit union to get an auto loan they denied me because I've never had auto loan history they said. HOW DO I GET HISTRY YOU DONT APPROVE ME? What i dont understand is why a credit union would deny me for $10,000 while dealerships would approve me of $22,000? Am i missing something?

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