Yup. So... don't do that?
Find a DC-DC that's actually rated for low current. Preferably with a regulated output, no minimum load requirement, and good efficiency at light loads. And use as small a device as you can... if it's "low power", do you *really* need three friggin watts isolated?
If nothing else, you can roll your own. You might use one of those "micropower" switching controllers, that goes into pulse-skipping mode when lightly loaded. Beware that the voltage sense / feedback circuit will probably need continuous power, however (usually to light an LED that throttles down the controller's output; so the LED needs maximum current (~mA?) exactly on light loads!).
Tim