Thor ACE pilot light will not stay lit

[Bulldog22]

My water heater pilot light will not stay lit. I have water in the tank and when I try to turn on water heater, the pilot light tries to light automatically (it tries three times). I see the blue flame each time but it will not stay lit. I have tried on LP and also on 110 volt. Any help would be great.

[fhenn]

turn on you stove burners for a little bit, might be air in the lines, this will bleed the air out