I had this problem and actually posted on here for help when I picked up my USP Compact. I realized shortly after posting on my own that it wasn't a problem at all, what was happening was my right thumb was placed atop the slide release of the gun.
On the USP and P2000 alike (and many, many automatics for that matter) when the last round is fired, a portion of the magazine pushes up on the slide release lever, making it hold the slide open. Upon firing the last round, the slide release was attempting to move up to catch the slide but was stopped by the strategic placement of my thumb and my particular grip.
Clear your P2000 and point it in a safe direction, I'd be willing to bet that your thumb falls on top of the slide release.
It happened to me too.