brand new - just return it. That said, try cocking it before you pump. Likewise blow a few shots out of it. Could be some junk in the valve. Likewise, if the spring that closes the exhaust of the valve is light (it is not really needed, and ultimately hurts output), the hammer spring can wedge it open if the gun is not cocked first.
Yes, I know the instructions say to pump then cock - that is lawyers talking.
If you are stuck with it, not hard to pull the valve and clean it out - just not worth it if you can exchange it.
You need a punch to remove the roll pin, and you will probably need to make a tool to open the valve (I took some 1x2 and drilled a hole the size of the valve (I put the hole about 2" from the end, with a longer peice solid for a handle). I split the hole on the short end with a table saw, then put a bolt through the split (so I could tighten the hole a bit. Put one on each side of the valve - tighten your home made wooden valve clamp - and unscrew the body of the valve to get the gunk out.