Let $\{ f_\alpha : U_\alpha \to X \}$ be a non-trivial covering family in a subcanonical site $(\mathbb{C}, J)$. By non-trivial, I mean one which does not contain a split epimorphism. We may assume without loss of generality that $\mathbb{C}$ contains a terminal object, since we may always freely add such an object.
Consider the corresponding family $\{ H_{f_\alpha} : H_{U_\alpha} \to H_X \}$ in the presheaf topos $\hat{\mathbb{C}} = [ \mathbb{C}^\textrm{op}, \textbf{Set} ]$. Let $\mathfrak{U}$ be the joint (presheaf!) image of this family; explicitly, $\mathfrak{U}(C) = \{ f \in \mathbb{C}(C, X) : f \text{ factors through some } f_\alpha \}$ i.e. $\mathfrak{U}$ is the sieve generated by $\{ f_\alpha : U_\alpha \to X \}$. Since we assumed $\{ f_\alpha : U_\alpha \to X \}$ is not a trivial cover, $\mathfrak{U}$ is a strict subobject of $H_X$. It is clear by construction that $H_{U_\alpha} \cong H_{U_\alpha} \times_{H_X} \mathfrak{U}$, and each of these is a sheaf because $J$ is a subcanonical topology. Moreover, if $Y$ is the terminal object of $\mathbb{C}$, then $H_{U_\alpha} \cong H_{U_\alpha} \times H_Y$, since $H_Y$ is terminal in $\hat{\mathbb{C}}$.
I claim that $\mathfrak{U}$ is not a $J$-sheaf. Indeed, there is a canonical matching family for $\{ f_\alpha : U_\alpha \to X \}$ in $\mathfrak{U}$, namely $\{ f_\alpha : U_\alpha \to X \}$. Since $\mathfrak{U}$ is a subpresheaf of the $J$-sheaf $H_X$, any amalgamation of this matching family would have to be $\textrm{id}_X : X \to X$, yet $\textrm{id}_X \notin \mathfrak{U} (X)$.
The moral of the story is this: Being a sheaf is not a local condition! (However, sheaves can be constructed locally, using descent methods...)