With my Mossberg 500's I've never had this problem. I may be confused about your difficulty but will offer my opinions. First, the gun came with a factory installed "plug" to limit magazine capacity to two shells. So, without removing the plug, you can only insert two shells.
Second, the action must be fully closed to insert shells. Thus the fore-end or "pump" handle must be fully forward.
Third, do you have the correct shells--20 ga. and not 16 ga.?
Fourth, have you read the instruction manual?
I suggest that you ask your dealer to instruct you.