Knob/button that you turn---push---hold at 'pilot' is what allows gas to flow thru pilot circuit (porting/tubing/orifice)
Thermocouple is what has to get heated by pilot flame...when heated it allows main gas to flow and holds pilot flame circuit open.
Bad thermocouple......no main flame (and pilot flame will not stay lit)but it doesn't stop pilot flame from lighting while you hold knob/button down.
With knob/button down......no pilot........pilot tube/orifice is probably plugged.
That is assuming you can get main flame to light off by heating thermocouple with a BBQ lighter and then lighting main flame when gas flows.
IF you can't do that....then gas control (gas valve is bad--have to replace)