Mocking Class with Private Constructor

I was trying to use Natural Mocks to mock the following

Public Sub TestSub()
Using recorder As New RecordExpectations
Dim instanceClass As ClassUnderTest = ClassUnderTest.NewClass
Dim returnString As String = instanceClass.Name
recorder.Return("My Name")
End Using
End Sub

Public Class ClassUnderTest
Private Sub New()

End Sub

Public Shared Function NewClass() As ClassUnderTest
Return New ClassUnderTest
End Function

Public ReadOnly Property Name() As String
Get
Return "TestName"
End Get

End Property
End Class

Unfortunately, I keep getting "Cannot use Return in this sequence, there must be a mocked statement first".
I don't understand why. If the ClassUnderTest is a normal class with public constructors, I don't get the error.
While I can use Reflective Mocks, I'd like to learn why Natural Mocks don't work in this instance.

Thanks.