I realize this is an old thread, however someone new may find it like I did..

I had the same problem with left handed threads on my thermocouple. Much research later I learned that they did it for a reason. The left handed thread thermocouple also incorporates a "thermal fuse," which is the overheat protection. It is left handed specifically so you can't put a universal thermocouple on it. If you do so, such as by switching the fitting to the new thermocouple (Which is ingenious, by the way. Very clever.) your water heater may work fine, but you no longer have overheat protection.

Lowes carries the retrofit kit (Water Heater Enhancement Kit) which replaces everything downstream from the control valve, except the burner itself. It adds an adapter for the left handed threads, so that a standard thermocouple will fit, and it also adds a separate thermal switch to provide overheat protection. Also, you can contact the manufacturer. (http://www.americanwaterheater.com/contact.aspx)

I had to contact the manufacturer, because I have the 30 gallon, for which Lowes does not carry the Kit.

Hope this helps, and Good Luck!