OK, this is called a Type III malfunction. The expended round is not extracted from the chamber and the next round is trying to be fed, but can't because the chamber is full. It looks like this:
If that's what's happening, then there are a couple potential causes.
It could be that the case is just sticking in the chamber. This happens with some ammo sometimes. It could be because the chamber is close to the specification limit. It could be because the ammo is dirty. It could be because the case material, steel or aluminum, is not compatible with your chamber. Sometimes it just happens. If it was the "el cheepo" Winchester White box ammo, then I suspect it just could be dirty. Thorough cleaning of the chamber helps this as would a light polish with Mother's Polish.
Another cause could be a faulty extractor. This is unlikely, but it happens. Check your extractor to see if it's chipped or broken in any way. With the slide off, slide an empty case under the extractor where it would normally sit when chambered. The extractor should hold it there. If it won't hold the case, it could be a weak extractor spring.
In any case, your gun shouldn't do that and we need to resolve the issue.