If the thermocouple is not bad, then it's possible the thermostatic control valve may be defective. that part should be replaced only by a trained propane technician. The thermocouple isn't easily tested without special equipment, and is relatively inexpensive.
If the thermocouple is bad, it won't sense the flame and the gas valve won't receive the proper voltage signal to keep gas flowing to the pilot assembly.
The thermostatic control is part of the gas valve assembly and has the dial that allows for temperature adjustment and will also have a probe that monitors the water temperature. The gas supply to the pilot assembly is controlled by this valve.
Just to let you know the jobs of both of those pieces.