When it fails to feed the 2nd round, exactly what happens? What is the nature of the jam? Stovepipe? Halfway out of the mag and stuck, but still orientated forward? Nose dive? Nose crammed against feed ramp? Exactly what happens, and is it consistent from jam to jam?
Does it matter if, as you load the magazine, care is taken to position the rim of the 2nd cartridge in front of the 3rd cartridge's rim?
What is your speculation as to why the CCI ammo works better than other ammo? Because it's hotter? I recently learned in a phone conversation with CCI, the results of which I posted somewhere on the forum but now forget where I posted it, that there is a surprising tolerance variation in the specifications of the rim diameter of their ammo. The specs are within those set by SAAMI, but can vary from lot to lot within those specs. If you think that it's because the ammo is hotter, then my semi-auto experience would lead me to believe that the recoil spring is too stiff for weaker loads to function properly as they don't make the slide recoil hard enough, fast enough, to compress the spring enough to provide sufficient velocity and force on the return to reliably strip and chamber the next round.
I have 3 similar pistols, a Chiappa, a GSG, and a Walther/Colt and all work pretty well, but I do not have a SIG. The Chiappa is the least expensive of the 3 and seems to be the best of the lot, but the spring seems very weak compared to the other two. I acquired them a bit before the big .22 ammo shortage of a few years ago, and so have only tested them with what I had on hand, and not the spread of brands available today. If I recall correctly I used Winchester Wildcats and Peters with the truncated bullet. The first time that I pulled back the slide I was amazed at the lack of resistance and said to myself, "This will never work," and "The slide is going to come off the frame and hit me in the head." But--it works well.
Possibly you are asking too much in expecting your .22 to function perfectly with all ammo you want to feed it. You may be able to set it up to reliably work with any given brand of ammo, but get less than reliable performance from others. Lots of the 1911-22's big brothers, the .45s, won't handle all ammo right out of the box without some fine tuning, and even after an expensive action job may still balk at feeding short, blunt nosed ammo.
Another possibility, the magazines are defective. There have been several semi-auto pistols produced in recent years that suffered from poor magazine design or manufacture, an example being the Remington .380. Usually the magazines have been redesigned and the problems mostly went away. The fact that you could have two, and both be defective, is not beyond the realm of possibility, since they were probably produced at the same place at or near the same time on the same machinery.
One more suggestion. Phone Sig and discuss the problem with them. I don't know why it is, but consumers seem to be reluctant to use the telephone and/or e-mail. Most big companies have one, sometimes two, folks who are paid to answer the phone and discuss problems. Believe me, they don't want your problem to go unaddressed or unsolved as their reputation and sales are on the line. First, (before calling Germany!), call the importer or USA storefront. No doubt some folks send their guns in for warranty work and there is/are in-house gunsmith(s). Ask to chat with the gunsmith and lay out your problem. You'd be surprised at how many problems I've solved that way and the information I've gleaned. You may get untold good results like being informed of a recall, free parts replacements, or how to tweek it to make it work properly. You can almost be guaranteed that if you're experiencing a certain problem others have also had trouble and it won't be news to the gunsmith.
Good luck with this. If you lived just down the road you could drop by with it and we'd see what we could figure out, but I can't fix it remotely-- only try to give you some ideas.
DG