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The first thing I would do is take some photos of the gun, close enough to show what the problem is. Email them to Sig customer service and tell them you cannot manipulate the slide in order to eject a live round. Ask them if they will authorize a local smith to at least get the round out before sending it back to Sig. If they balk, ask them if they will come and pick it up since it is unlawful to mail a firearm with ammo (much less a loaded gun that is malfunctioning and potentially dangerous). The third alternative is to provide a new gun.
At all times, remain calm and polite.
Added: Just ignore above comment since you've got a dialogue going with Sig. You were posting while I was typing.
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