This works using a bimetallic strip, as the filament heats up it bends the strip opening the circuit, when the strip cools it bends back in place closing the circuit & lighting the lamp again. Because the lamps are wired in series when the circuit is open all the lamps on the string go out.

I have one of these knocking around somewhere that I bought when I was a kid. I also still have the 12 lamp set that I had for Christmas at the time alas only 2 of the original lamps remain

I have some sets of Sunshine Christmas lights in original packaging with original lamps