Find out what kind of socket the UV bulbs are actually meant for. It might be that the physical socket is the same, but has different electrical properties.

For example, does your CFL have its own ballast, or is it "just tube"? If it's just a tube, with no ballast (the bulky electronic part of a CFL that uses a standard socket,) then the CFL is likely expecting fairly high incoming voltage (Fluorescent lamps require fairly high voltage, so desk-type CFLs use a step-up transformer internally.) They also use DC rather than AC. If your UV bulb is a standard incandescent UV, then it is expecting mains voltage, AC. You might very well have blown the bulb; although if you didn't hear/see anything, that's not too likely.