Built in Propane Heater thermostat not functioning

That copper pipe is not a thermostat. I would bet that it is some type of expansion tube for a limit switch. These old furnaces are beyond my pay grade but practical sense goes a long way. I'd suggest to locate that pipe as it was originally and to inspect the thermostat/valve combination. It may be that the adjustment is only for the amount of gas fed to the burner and you really don't have what would be considered a true "thermostat".