PostgreSQL SSD vs HDD - why is there no difference in insert performance?
I would not expect disk to be the bottleneck for this task on a reasonable machine.  All writes but one (the final commit) should be either buffered, or done in the background.  The bottleneck would be CPU.
If each row was inserted in a separate transaction and your HDD lacks a non-volatile write cache and your system is configured properly for durability, then having WAL on the SSD rather than HDD should be a lot faster due to the fsync speed.
Even with your single-statement INSERT, if you increased the size to the point that the temp files used for generate_series actually had to reach disk and be evicted from RAM, and then be read back in, that could also highlight the difference between SSD AND HDD.