I have the exact same problem. I very seldom have anything to say. I'm not scared or shy, I just come up empty. I've been aware of having this problem since somewhere in elementary school.
I know how conversations are supposed to go, like a tennis match, as someone here likened it to. But that knowledge doesn't make me come up with anything to say. Very often I just don't have anything more than "yeah". I'm no good with initiatives either, so changing the subject will usually be left to the other person. The idea of asking questions doesn't come naturally to me, I didn't even think about it until I learned on here that one is supposed to. I can seldom think of anything to ask, and I don't like to. It feels invasive, like they should volunteer the information, and asking for it makes me feel creepy.
If anyone has found a solution to this, I hope they'll post a detailed explanation.