I have a problem shooting SIGs; they NEVER lock back on an empty mag when I shoot them. It's caused by my thumb resting on the slide release lever, as it's located in the same place as the thumb safety or thumbrest on other handgun models.
I recommend you adjust your shooting-hand grip by deliberately pointing your thumb straight up, or out to the side, and then shoot a few one-shot magazines to see if this change allows the slide to lock back. I know, I know, you probably don't think you are touching the release lever, but I can assure you, many folks who didn't think there was any possibility of this being the problem were VERY surprised when they tried this simple test (it's pretty common with Glocks, too).
If that doesn't fix the problem, then I recommend pulling the slide off and testing the slide release lever for free movement (might be bent and dragging on the frame, or maybe there is a burr on the frame itself?); checking to see if there is anything else that might be affecting the lever's movement (incorrect assembly, grip panel binding/interference?); and finally, try locking an empty mag in the frame while the slide is off to see if the follower will push the lever up to the slide-lock position.