It is *very* easy to accidently engage the slide release on the Sig series of pistols. That's because of the location of the release nearer to the back of the gun then most other designs. Even if you think you can't reach the slide release while shooting, under recoil you are likely depressing the slide release just a bit without even noticing. That's enough to keep the slide from locking open.
Clean and lube the gun and make sure the slide release can move freely. Then shoot some more. Try shooting a few rounds deliberately with a "poor" grip where you hand is not as high on the gun as it should be. (Your accuracy and recoil control will go to heck, but this is just for diagnostic purposes. Be careful to maintain control of the gun though). See if you can grip the gun in such a way that the slide *does* lock back. If it does lock back when you have a poor grip, really low on the gun, then you know for sure that your normally hitting the slide release under recoil.
This is such a common issue with Sigs that I'd be surprised if there is anything else causing it. It can happen with any grip, but is especially easy to do if you shoot with a thumbs forward grip.