The printers cannot produce hollow parts. In place of the hollow, they print a support material. This support material is removed later.
If your model does not have a hole connecting the inner and outer cubes, Shapeways cannot access the support material and they have to leave it in place. This is not a problem as this material has to be discarded anyway. The real problem is in the software.
The model you are describing is a "positive" cube, in which a smaller "negative" cube is nested.
The Shapeways software has a problem with negative solids and ignores them. The result is you end up paying for the solid cube, which is very uneconomical.
The solution to this problem is to connect the inner and outer cubes, by putting in a hole that makes the negative cube accessible from the outside. This hole does not have to be big enough to allow removal of the support material, it just has to be there to make the software see the hollow.
Of course, if you want to get an actual hollow model you need to make the hole large enough for support removal. Trapped support material will increase the weight of your model, which in some cases is beneficial, in others, not. In some cases, having support material trapped will decrease the material's performance (this happens with the detail materials).