I can say with 99.9% surety that this is indeed the problem, I also have a Neo, which I totally would never be without, it even our performs my Evolution 2 in 1 silverline ornamental airbrush, however when I first bought I had 2 problems which I managed to fix in 10 minutes, the first being this very same problem, easily rectified by applying a little ptfe tape around the nozzle cap thread and voilà job jobbed.
The second problem was the air stayed on constantly (there are benefits to this sometimes) this was result of the air valve spring coming in contact with the inner wall of the valve, again rectified by simply winding up the spring so that it was closer the air pin than the wall, again job jobbed, after these little tweaks the Neo has never ever let me down.
It's always a good idea to give every new airbrush a good look see before using it for the first time, something I always like to the hard way, living life on the edge, that's me