Greetings jbbcd welcome to the Forum.
They can be real tricky !!
Now, assuming you've loaded it correctly, and tightened the Barrel before you pushed the Piston back into it.
Frequently, Air gets trapped in the Head/Pump when you screw it back together.
Carefully, unscrew the Barrel about a quarter to a half turn, not enough to let it come unscrewed from the head, and sorta rotate it back and forth a few times.
If you've loaded the new Grease Tube into it correctly, you should hear Air escaping. And when it's stopped, start pumping and you should get it to prime.
Tighten it back up, and you're ready to go.
Have a good Day !
S.W.