Is it an older gun, or one that has been used a lot?
I asked this question because If an older gun...bought used, or one that is used a lot, sooner or later will have drive pin problems like Ken's problem.
The drive pin strikes the top of the nail head over and over. What usually happens is that the edges get peened (mushroomed over), and the end of the pin gets a bit larger. This can cause the pin to hit off center, or catch more than one nail at a time.
The other problem is that the end of the pin can just get rounded, which makes the contact with the nail head less than direct and create a jam. The easy fix is to disassemble the gun, in order to access the drive pin. When disassembling any gun, or any tool for that matter, make a mental note of the sequence of disassembly, and hoard the parts that you remove. As funny as it sounds, it's the old joke about re-assembly, and having spare parts left over.
Use a metal file and flatten out the four sides of the pin. This can be just a swipe or two, as the sides may not be all that bad. You don't want to reduce the size of the end of the pin if you can help it. The very end of the pin may be just rounded, but has to be filed flat, and this is where you dress it carefully for flat. The flat end is what gives a good striking surface.
I haven't found much difference in brand of nails, and of the several brands I have bought never found ones that wouldn't work. I guess it could be possible that some brands may have a minute head difference. With the quantities of strips of nails produced it's entirely possible that there could be defective nails (or one nail among many) in the group causing a jam or misfire. I wouldn't attribute that possibility to brand, but to mass production.
As for air pressure, check the directions for your gun. Most of mine like 90 PSI. If you are adjusting the air pressure down to regulate the depth in seating of the nail, that may cause an incomplete firing. On the other side of the pressure issue...too much pressure can blow out seals and o-rings.
I've used HF's nails and staples and IMO are as good as the leading brands. So, I wouldn't label them as cheap, just less expensive.