Are you absolutely sure that you have a male and a female? Have they been checked through DNA Sequencing or has your local vet physically checked them? The swans are probably two males as the males are responsible for building a nest and yes, they will mate and obviously produce no eggs. Two females will also mate but they usually produce eggs, just non-fertile eggs.

Is the habitat safe and secure from predators, inclement weather, etc.? Have you had a long hard winter, too much rain, sleet or snow? Have you had a drought? Any of these could be precursors for not being fertile.

Also, you may want to stop the duck protein pellets and feed them poultry layer pellets. If they do produce cygnets, you may have an overload of protein in their diet which could cause the young and even the parents to develop angel wing in which the wing is too heavy (overly developed for their young bodies) which causes the wings to grow backwards. The poultry layer pellets have a good source of calcium for egg laying. The Regal Swan