On the assumption that Machlon and Kilyon did not die at the same time, wouldn't the brother who died later have an obligation to perform Yibum (assuming Ruth and Orpah converted before marriage)? If so, do any commentators explain why it was not performed (or state that it was)?
The simple answer is because they died on the same day so there was no chance for yibbum to happen.
Refer to the Igeres Shmuel on Megillas Rus commenting on the verse 1:15
וַיָּמ֥וּתוּ גַם־שְׁנֵיהֶ֖ם מַחְל֣וֹן וְכִלְי֑וֹן וַתִּשָּׁאֵר֙ הָֽאִשָּׁ֔ה מִשְּׁנֵ֥י יְלָדֶ֖יהָ וּמֵאִישָֽׁהּ
Then those two — Machlon and Chilyon — also died; so the woman was left without her two sons and without her husband.
The Igeres Shmuel (here - right side, 18 lines down) writes:
אפשר לומר "וימותו גם שניהם" משמע ששניהם כאחד מתו ביום אחד וזה "גם שניהם" לרמוז שלא בזה אחר זה בזמנים מחולפים
It is possible to say "The two of them also died" implies that both died as one on the same day. And "The two of them also" hints that it wasn't one after the other in passing times.