If it was a brand new pump it would have had a blob of grease on it, so when you fitted and cranked her over you would get a vacuum and draw the oil in. Try this, remove your oil filter, get a long length of silicone hose and put it over the oil filter hole (where the filter screws on) Pour oil into the top of the hose and have someone crank the engine over at the same time. If that doesn't work, your pump is knackered.