I'm a Sig Armorer for my Department. In diagnosing your issue consider the following:
1. Recoil spring and guide - a weak spring (out of spec) or one with a broken coil will cause this malfunction. Check the guide for deformation.
2. Improper lubrication - too much or none at all may cause this condition. Clean and use a light oil on the rails, recoil spring and guide (Mil-Comm 2500).
3. Magazine Spring - check spring to ensure it's within spec. Ammo stored in magazines over long periods of time WILL compress the spring. I have a hard time convincing officers of this fact until I show them their spring and compare it side by side to a new spring.
4. Ammo - lower quality ammo may cause this condition to occur, as the slide may not retract fully. Always use quality ammo.
I once received a demo P226 DAK E2 from MD Charlton. I and other officers had this same problem. I made a call to Sig directly. Apparently some P226's will not accept a high capacity magazine, being designed to malfunction in this way. They engineered the slide catch lever to bypass the magazine follower, thereby causing the slide not to lock back upon firing the last round. I swapped the part out and the gun cycled fine after that. A sign you have the wrong slide catch lever is to look at it from back to from with the slide removed. If you see a small notch in the "dog" the engages the magazine follower, and this dog is carving a groove into the side of the magazine follower, you have one of these modified P226's. Hope this helps.