This condition is called "Static Steering". It is very common for ANY vehicle, not just Hummers, with large contact tires (read that as tall and wide). If you attempt to pull against these forces, you will either break the steering pump shaft by overpressure or cause damage to the steering gear itself. The "fix" is to allow tire movement by letting your foot off the brake in a controlled manner while steering in the direction you wish to go.
Learn to drive the vehicle properly and you'll enjoy it.
Or, you could be a pussy and whine about the cost of the vehicle and how it doesn't drive like your Mercedes or your old Excursion.
So, quit riding the brake pedal and turn off your turn signal when you complete your lane change, the truck won't do that for you either!
I'm grouchy today, so piss off!