Something’s wrong. (Presumably you’re not using an aftermarket magazine!)
Try this:
Seat an empty mag in your pistol and see if the slide will lock back (like it should).
If it will, the possibilities are:
You’re holding down the slidestop when shooting as described by pointfive0 above.
You haven’t cleaned and oiled the thing before shooting it. (Note that SIG’s run best when they’re well-oiled. The magazine also needs to be cleaned inside and out, though it should only be very lightly oiled if at all.)
You’ve got the recoil spring backwards on the recoil spring guide. The tight end of the spring should go on the guide first.
You’re using weak ammo that won’t push the slide back far enough to lock.
Alternatively, you might be limp wristing it a bit and causing the same problem.
OTOH, if seating an empty magazine and pulling the slide back won’t put the pistol in slide-lock, the possibilities are:
You’ve got the mag spring backwards in the magazine.
While not likely, it’s also possible that magazine follower, the slide lock, or the slide lock notch in the slide is defective. Or maybe the magazine spring is really weak.