I grow sunflower plants where the flower is not pollinated, and they produce empty seed shells.
How do I get the plant to produce seeds shells with a seed inside?
Several possible problems come to mind. Firstly it could be a compatibility problem. Most sunflower varieties are, to some extent, self fertile. That is, they can produce viable seed even in a planting of only one variety. However, they will generally produce better if more than one variety is present.
It could be a problem with pollination. Sunflowers are mostly bee pollinated. In my neighborhood it seems like Bumblebees do a lot of the work, but honeybees are also effective. If there aren't any bees in the area, whether due to lack of food and habitat or someone being less than cautious with insecticides, that could also hinder things. Attracting the bees if they are in the area shouldn't be a problem, sunflowers are one of the better bee attractants out there.
Once the seeds are pollinated there are still a few more possible issues. If the weather turns too wet or too dry the plant may abort seed production, leaving you with a bunch of empty shells. This could also happen if the plant runs out of nitrogen. Sunflowers are heavy feeding plants, on par with corn. A little extra Nitrogen added to the soil as the flowers are opening might help things.
It could be that your plant set seed, but the seeds were eaten by some manner of insect as discussed in this answer.
Finally, be sure the seeds are actually ready to harvest, the common advice is to wait until the back side of the flower disk starts to turn brown. The seeds ripen sequentially from the outer edge working inwards. Sometimes you might need to get inventive to get the plant that far along. Many birds (especially Jays) and squirrels will be more than happy to harvest the seeds themselves if you don't prevent them. Best advice I've seen for this is to consider putting netting around the heads.