I have not had bad luck with any of the FMJ, 115 gr ammo that I have used. I've used the Winchester white box, and Magtech, but mostly Sellior & Bellot. I usually buy online, but my usual sources (Natchez, Cheaper Than Dirt, Midway, etc...) are all sold out. It's a bad time to be looking for 9mm.
Use the owners manual and give the gun a good cleaning before use. Apply a light coat of lubricant to the rails and other parts that move.
I do own the 9mm and .45 versions of the Stoeger Cougar. Never had any problems with mine. THey are great guns for the money.