Either the magazine is not moving the hold open up when the last round is gone, or it is missing this part. See attached picture and part 22 is the hold open and it rests in the frame (follow the dotted line to see where it goes in the frame) The best thing is to field strip the gun and put the empty magazine in the frame and visually confirm that the hold open is in place and what is happening when the magazine is fully compessed into the frame. It should lift the hold open up when in place and when you remove the magazine the part should retract back into the frame. Good luck!
CLICK HERE for exploded parts diagram for the LUGER PISTOL