ROC curve shows strange results for imbalanced dataset
Davis and Goadrich have explained the relationship between ROC and PR Curves in their paper. It is always recommended to use PR curve over the ROC curve in the presence of highly imbalanced data. 

Back to the behavior of your ROC curve, It seems that you don't have more threshold points! I would also agree with Dan and do K-fold CV. 


  Davis, J. and Goadrich, M., 2006, June. The relationship between
  Precision-Recall and ROC curves. In Proceedings of the 23rd
  international conference on Machine learning (pp. 233-240). ACM.