I have installed a new wall heater and it came with a single pole thermosat, after I had it all wired I cannot get it to shut off regardless of which way you turn the stat.

Disconnect 1 of the wires to see if it shuts off, look for other terminals.

Which wire, the one going to the thermostat or the one going to the heater

Are you certain that you didn't wire directly to the heat leads and miss the tstat? I've seen it happen, supply conductors to the heat leads and the 2 tstat leads bugged together. (Don't ask, but they were all black, and at least it never got powered.)