Sig Mosquito was the worst .22 ever..... at least at first. I also had constant failures to fire, failures to feed, double feeds, stovepipes, you name it. For the first 500 rounds there was about a 30% malfunction probability. I found the only ammo that it sort of likes is 22 Thunderbolt by Remington, which is surprising since it's not very good ammo... but works much better than the CCI stuff. If you have a Mosquito, make sure you use the softer spring, keep it clean and do not make contact with the slide as it will result in some form of malfunction. Also the rear sight is so loose it wiggles around, the front counter weight/slide extender comes loose all the time and the magazines can jam up.
On the plus side, owning this gun will really hone your malfunction clearing skills as you will be doing it at least once per 10 rounds. So it's good for something....
Also everyone with a SIG Mosquito should inspect the hammer/pin area and check if the hammer hist the pin squarely and evenly. Insert a thin strip of paper and dryfire (empty shell in the chamber) and then look at the marking on the paper. If its not a nice rectangle bring the gun back, you will just have problems. Thats where a lot of the failure to fire come from.
Cheers