My first budgie did this. I didn't know what was going on so I brought her to the vet and she said she was fake sleeping because she wanted me to leave her alone. I also asked this exact same question on reddit when I got her, haha.

I think the best thing to do is take it slow, backing off when they do is already very good, it shows you respect their boundaries. You can try clicker training to get an initial bond going. Just walk by the cage occasionally, click, and give them a treat. This can eventually expand into stepping up, targeting, and other tricks but for now you can just walk by so they can learn to look forward to your presence.