So you have run it a few times since reassembling it? Just not for extended periods. When I rebuilt my engine I cranked it for a while until oil started oozing onto the valvetrain before the first real start. I'd used copious amounts of assembly lube...
BTW, I packed the gears of my oil pump with petroleum jelly to make sure it primed. It's possible that the problem is just that there's too much air, the oil pump does not work well moving air and so if it's completely dry it can't suck up enough oil or is air locked.
The oil flow in the 22R goes:
pump or relief valve
filter or bypass valve
splits between tensioner/crankshaft/head
With the filter being dry, it's got to be the pickup or pump.
If you know you do not have oil pressure I'd check that the relief valve on the pump is assembled and working right. If the pump was made wrong and the spring was not put in or the plunger is hung up, the pump would just be circulating oil right back into the pan. The relief valve is the big bolt on the top of the pump with a brass washer under it.
Other things to check.
Did you replace the gasket on the pickup when you bolted it to the block?
That you put the pump drive gear in right, the splines should be towards the seal, e.g. the smooth part backward as you install it. Make sure the woodward key in the crank did not fall out or is broken.
Do not trust the gauge necessarily. Also don't worry about trying to use a sealant on the sender threads. I thought I was doing good by wrapping them in teflon tape and freaked out when I had no oil pressure. I had a duh moment when I realized the sender grounds through the threads, it's a one wire sender. For this test I'd actually pull out the sender and replace it with a mechanical gauge.