Why is my Alaskan Malamute/Great Pyrenees not getting over his shyness?

We got Skylar almost a month ago, and his previous owners did not mess with him or any of the other pups, they did not even mess with the older dogs. Well he was almost 2 months old when we got him, and he's just constantly being shy/skiddish. He gets along GREAT with the other dogs, but if we let him outside to do his buisness, and let him run around for a while. When it's time to bring him in he just runs away. So we give him his space, we try to coax him with treats, and try to give him loving and all he does is just run away. When he is inside, he acts fine. Occationally he will run away, but not most of them time inside. How can I get him out of this stage without making him feel uncomfortable? I know he has a lot of potential, and he is very sweet. I just don't know what to do. My parents are getting tired of him being this skiddish, and I don't want to give him away =(