Mine did that at first too. I used milk crates turned on their sides and filled them with a layer of pine shavings and then straw. They removed all of the straw and spread it around the coop and then scratched out all of the shavings - one of the hens then laid her first egg in the pile of shavings.
Next, I switched to the stackable storage boxes (unstacked) which have a nice tall lip on them. I used the same formula for bedding. They picked out every bit of straw and a few more pullets laid eggs in the box on the tiny bit of pine shavings left (the boxes were filled mostly with straw).
Finally, I scrapped the straw and just fill the boxes with lots and lots of pine shavings. All is well now. They make a nest in the shavings IN the boxes and lay there. I think for my chickens it was a combo of the boxes they didn't like filled with nesting material they liked even less. Everything if fine now that I've found the right container and bedding.