The slide failing to lock back seems to be by far the most common problem with new SIG’s. Below is a generic answer.
Possible causes:
You’re inadvertently holding down the slidestop with your thumb when shooting.
You haven’t cleaned the preservative off and oiled the thing before shooting it.
Note that SIG’s run best when they’re well-oiled. It’s best to use a high-quality gun oil (or CLP) such as FP-10, Rem-Oil, Breakfree, Militech-1 or such. The magazines also need to be cleaned inside and out, though they 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 and fit up against the guide flange.
You’re using weak ammo that won’t push the slide back far enough to lock. Often new SIG’s need to be worn in a bit before they’ll handle less powerful ammo.
You might be limp wristing it a bit. Also, be sure and grasp the handgun with your strong side hand as high up the grip as possible (the web of your hand should be firmly pushed up into the top, rear curved part of the grip). If you think this might be an issue, let someone else try firing the last round and see what happens.
You might have the mag spring backwards in the magazine.
Alternatively, you might just have a bad magazine (i.e., one with a really weak magazine spring or with a bad magazine follower). Swap out with other mags to see if you still have a problem.
While not likely, it’s also conceivable that the slide lock, or the slide lock notch in the slide is defective.
ETA: Chlorofiend: Make sure everything is well lubricated and the recoil spring is not reversed as mentioned above. You might need a new recoil spring.