Yes they may just be nervous, I would be more concerned if they haven't peed or pooped at all after they have been in the cage overnight. I wouldn't necessarily cover the whole cage, but certainly cover the section of the cage where their food and water is, so they can feel safe while they eat and drink.
It is really hard to get them to gain weight without adjusting the diet in a way which could cause other problems, like for example giving them unlimited pellets which could lead to eating less hay and then overgrown teeth due to the lack of hay. Mostly you just need to make sure they have a balanced, healthy and consistent diet and they hopefully should start slowly gaining weight.
I do know certain hays can be more fattening without adding much risk so if you want to you could give them oaten hay as their grass hay if you have good quality oaten hay available in your area. For several years all my guinea pigs were fed was oaten hay (hays such as Timothy/brome/bluegrass are not available in my area) and after I transitioned to wheaten in the past year a few of my guinea pigs have gradually lost about 30-50 grams of weight and have stabilised at their new normal weight, not that I was concerned about their weight either way as they are all well within healthy bounds.