That is the way jigdo downloads the files, unless you mean in a particular order. I'm not sure what order it downloads the files for a particular ISO, but it only downloads one at a time in order to build the ISO. I would imagine it downloads them according to the template. I don't know how to get jigdo to download all the files in alphabetical order, for example, or why you would care.
Now if you want to download multiple ISOs at the same time all you have to do (with the linux version anyway) is copy the jigdo directory to another location and start another instance.
Now if you are talking about downloading ISO image 1, then ISO image 2 automatically I don't think this is possible, unless you did some fancy script work with the command line.