I would not use sand in the nesting box. It just does not feel right.
Most birds tend to gather vegetation to make a nest, whether wild birds nesting in trees or birds nesting on the ground. The vegetation helps insulate the eggs both from the cold from the ground if they want to hatch them but also from moisture (or lack of moisture) in the ground. There are a lot of different things you can use in a nest, but I think they will be more comfortable with wood shavings, straw, hay, dried grass clippings, shredded newspaper, something in there to line it with.
