AutoZone warranteed the first one and this one is doing the same thing. Only today I figured out that pulling the lever helps prime it. Although last I checked you shouldn't have to do that
Grease is probably too viscous to prime. Not all NLGI 2 greases have the same consistency and you might try a different grease. I have always had the same nuisance problems with grease guns.
Pull the pump handle open (the little pressure piston) and thump the grease gun UPSIDE DOWN on a wooden block to push the huge slug of grease towards the pump head.