Thermostat elimination? re-positioning?

I have a Cozy vented Nat Gas space heater with a closed front using a Robertshaw 710-205 gas valve. I recently replaced the valve with a supposedly identical model and I'm now having problems with the new valve. The problems are probably because I'm using the valve in a manner not intended by its constructors but the old valve worked fine the way I want it. Basically the problem is that I want to control the heater OFF or ON using the temperature control dial; it wants to control the off and on using the temperature of the ambient air. Maybe I could live with the "ambient air" approach if I could set the upper and lower temperature limits but I don't know where such an adjustment would be. Any ideas?
Alternatively what would happen if I crimped the tube to the thermostat bulb?
BTW the replacement of this valve was a mistake. I overlooked another old shut off valve in another room but on the same line. What really threw me was that the pilot worked OK but the gas wouldn't come on. Evidently that old shut off valve leaked enough gas to power the pilot even when it was closed! So I presumed the fault lay in the gas valve on the heater.... oh, well.

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