You may want to provide more specifics, like what type of RV, what type of water heater etc.
Is your LP valve all the way open? Are your LP tanks full? Have you moved the slider to allow more/less air getting to the flame? Is the pilot free of spiders/insects? It's odd that the thermocouple would maintain the pilot if if it's not the right flame height, although it could be hitting it just right to provide enough milliamps. But it's even more odd that the small pilot wouldn't ignite the un-burned gas and allow a small explosion.
If you have LP, my guess would be either there is debris/insects/webs in the pilot or it's not getting enough air.
