We study the beam-normal single-spin asymmetry (BNSSA) in high-energy elastic electron scattering from several spin-0 nuclei. Existing theoretical approaches work in the plane-wave formalism and predict the BNSSA to scale as ∼ A/Z with the atomic number Z and nuclear mass number A. While this prediction holds for light and intermediate nuclei, a striking disagreement in both the sign and the magnitude of BNSSA was observed by the PREX collaboration for 208 Pb, coined the "PREX puzzle". To shed light on this disagreement, we go beyond the plane-wave approach which neglects Coulomb distortions known to be significant for heavy nuclei. We explicitly investigate the dependence of BNSSA on A and Z by i) including inelastic intermediate states' contributions into the Coulomb problem in the form of an optical potential, ii) by accounting for the experimental information on the A-dependence of the Compton slope parameter, and iii) giving a thorough account of the uncertainties of the calculation. Despite of these improvements, the PREX puzzle remains unexplained. We discuss further strategies to resolve this riddle.