Thermocouple replacement is usually pretty easy. Maybe WD40 would help. If the screw is holding the pilot burner assembly, maybe you can turn the whole assembly which would in turn rotate the screw. Also, sometimes you can grab the thread portion of a screw with a teeny pair of channel locks or vice grips and loosen it that way. You may also be able to break something off and then reattach it through a screw in a slightly different place. Sorry I couldnt be more clear…I cant quite imagine your situation.