tinkerreknit,
You are correct. An integral part of the water heater's gas contol valve is the thermostat (it actually sticks into the water in the tank). The whole unit screws into the Atwood aluminum tank body. Here's a picture to show you what it looks like.
You can try removing the control valve, then clean the threads in the tank body as well as the threads on the valve. Probably a lot of corrosion where the two meet since aluminum and brass don't really like each other. Atwood used pipe dope when originally installing the valve. You can use pipe dope, or teflon tape on the valve threads before reinstalling the valve.
Hope this helps.