The issue is more for sudo cd to fail on your OS than sudo echo to succeed.
sudo cd /directory is quite a legitimate method to check if a given user, likely root here, is allowed to cd to some directory. That is the reason why all Posix compliant OSes do provide an executable version of cd.
So the answer to you question is sudo echo yo works by design because echo is provided by both a shell alias and an executable command but sudo cd /directory does not because your OS, likely Gnu/Linux based, is breaking the Posix standard in this specific case.
A simple workaround for your system would be to run sudo sh -c "cd /directory"
     
    
sudo cd /directoryworks fine here. Check thatwhich cdis in your root user's$PATH.