As Russell Borogove has already noted, neither the MarCO cubesats nor InSight itself had the ability to enter into an orbit around Mars. Their only options were either to hit the planet or to fly past it. And, unlike InSight, the MarCOs were not equipped to survive entry into the Martian atmosphere, either.
From the way you phrased your question, I suspect you have a rather mistaken mental image of the whole process. Maybe you're imagining something like three boats sailing to an island in the ocean, with one landing and two remaining offshore. Or maybe your mental image is closer to three airplanes flying to a remote airfield, again with one landing while the other two keep circling in the air.
A more accurate mental image would be three darts thrown at a watermelon. One hit and stuck in the target, while the other two (deliberately) missed and flew past it.
If you want a more accurate understanding of the mechanics involves, go play some Kerbal Space Program (or one of the other semi-realistic space flight games on the market nowadays, like Simple Rockets 2). If you do, one thing you'll realize is that, in general, anything that falls in towards a planet from interplanetary space will have enough velocity to keep flying past it and away again. Orbital mechanics are symmetric like that.
To actually get captured into an orbit around a planet requires slowing down somehow, and in practice that usually means having a rocket engine and firing it retrograde.* While InSight and the MarCOs did have some small maneuvering thrusters for fine-tuning their course in mid-flight, those wouldn't have had nearly enough delta-v to let them stop their flight past Mars and enter an orbit around it instead.
*) Other options include hitting the planet and landing (more or less softly; technically, this doesn't get you into orbit, but it does stop you from flying away from the planet) or aerocapture, which unfortunately tends to be a much riskier maneuver in real life than it is in KSP. Another different between KSP and reality is that KSP's Mars-analogue, Duna, has a huge moon that can be used to slow down via gravity assist. Unfortunately, the real-life moons of Mars are way too small for their gravity to have any significant effect on interplanetary spacecraft flying past them. In any case, neither aerocapture nor gravity assist alone can technically get you into a stable orbit, although they can get you close enough that even rather weak thrusters can finish the job.
