Set the radio right next to a window, and see if that helps at all. The glass isn't a shield. But if your house is covered in aluminum or steel, that definitely would act as a shield for radio signals.
If the window doesn't work, try taking the radio outside and see if that makes any difference, as KA3JJZ says.
And remember, SW conditions are mediocre lately, that certainly isn't helping things any.
But you should be able to hear something, like CHU or WWV. Or Cuba and one of the US domestic religious SW broadcasters.