Refrigerator won't stay lit after I let the red button out

The thermocouple connects to the gas valve with what looks like copper tubing with a flare nut. It's actually a copper-jacketed coaxial cable. Tightening the nut makes up one side of the circuit with the jacket and presses a conductive core against a contact in the gas valve to make up the other side. That nut needs to be Snug, not Tight. Too much Tight can pinch that center and short the thermocouple. Then no voltage to the coil in the gas valve that keeps the gas flowing.