It's no more "strange" than US Senators from Wyoming or N Dakota or Vermont or Alaska having a veto. To pick one example, the US Senate veto is why the US consistently refused to recognize the Armenian genocide for many decades.

Hungary by no means has a veto on everything. The 27 EU member states vote on most issues by qualified majority (55% of member states = 15 countries, and >= 65% of total population). On a narrow set of issues (foreign, defense, finance, treaties, EU enlargement) they have a veto.