The SIG Mosquito is notorious for demanding only high quality, high velocity .22 LR ammunition for peak performance. This means regular Standard velocity ammunition such as Remington Target, Eley Club, etc. will not function properly in the Mosquito. The most common occurrence with regard to jamming is that the slide will travel rearward far enough to eject the spent casing, but not far enough to properly strip the new round from the magazine, causing the fresh cartridge to "reverse nose-dive" into the top of the breech and jam the gun.
In addition, the Mosquito is somewhat snobbish in that it must be kept extremely clean --- that is no carbon build up in the slide or on the frame rails as this may cause excessive friction that will slow the slide down and not allow the fresh round to seat fully into the chamber with the proper velocity of the slide to press it into place.
We have heard that the Mosquito seems to work well with some of the following brands of ammunition (as well as a few others not listed here):
CCI MiniMag
CCI Velocitor
Remington Golden Bullet
Remington Viper
Remington Yellow Jacket
Winchester Super-X (40 grain)
It has also been reported that the Mosquito prefers heavier bullets in the 40-grain range over the lighter 3x-grain loads.