Is this the kind of wheel that the drive band connects the big drive wheel to the bobbin itself? (Not a whorl next to the bobbin, but the bobbin itself, just one drive band loop going around this.) Then there’s a little black strap that slows down the flyer (the U-shaped part with hooks on it)? If you turn the wheel, then the bobbin goes around, and the flyer stands still. If this is your wheel…
This is called a “single drive bobbin lead” wheel. The black strap that slows down the flyer is what will control the pick-up, where the yarn is pulled into the bobbin. It should be “just loose enough that the flyer turns easily, and that you can easily hold the yarn out,” according to a video I have on spinning. But it needs to be tight enough that the yarn feeds into the unit when you release it, and it sounds like this is the issue. Try tightening that strap! Do it just a tiny bit at a time, until the yarn feeds in readily. 
Hope that helps!