Always observe safety precautions when [link|https://www.usawaterquality.org/light-a-water-heater-with-electronic-pilot/|lighting a water heater pilot|new_window=true] with an ignition mechanism. It would be wise to remember you are working with combustible gas. I recommend checking your water heater for any gas leaks first before igniting the pilot light.
You can use a gas leak sniffer for this purpose.
If you prefer the old-school method, you can make a soapy solution and apply it over the gas connection. Bubbles in the area suggest a possible gas leak. You might want to retighten the gas line connection.
It would also be best to check the gas connection for a thin and yellow PTFE tape. This product provides a good seal, similar to Teflon tape for water connections. If the sealant is absent, you might want to disconnect the gas line, wrap PTFE tape around the thread, reinsert it, and retest for gas leaks.
If none of the solutions worked, you might want to forego the pilot lighting and instead call a professional to fix the issue.