Zebra finch nesting material?

i have a pair of zebra finch, and the have mated several times now, they have a nest box and i have put hay in the cage but they havent built their nest. they sleep in the box at night and during the day the male goes in a looks like he is trying to make the nest but all he does is pick at the nest box. i dont know if he doesnt like the hay or if he's not figured it out yet, but it shouldnt be long till the female lays her eggs and im a bit worried she lays them in the nest box and theres no nest for them. is there any advice tht anyone can give. im new to breeding. thanks