As opções do OpenSSH podem se comportar de alguma forma estranhas à primeira vista. Mas a página de manual para ssh_config
documenta bem:
For each parameter, the first obtained value will be used. The configuration files contain sections separated by “Host” specifications, and that section is only applied for hosts that match one of the patterns given in the specification. The matched host name is usually the one given on the command line (see the CanonicalizeHostname option for exceptions.)
Você pode reescrever sua configuração assim para obter o que precisa:
Host github
HostKeyAlgorithms ssh-rsa
Hostname github.com
Port 22
User git
PubkeyAuthentication yes
IdentityFile ~/.ssh/some-filename-here
Host *
HostKeyAlgorithms [email protected],ssh-ed25519,[email protected],ecdsa-sha2-nistp521,ecdsa-sha2-nistp256