My pilot light comes on and ignites heat exchanger but when the cover closes the flames shut down. The blower works but heat exchanger will not stay lit. I have replaced the gas valve and the thermo couple. Suggested that damper valve needed to be adjusted - where is the damper valve

Is this in a Mobile home?

What cover are you talking about?
Are you talking about the sight port used for lighting the pilot?
Did you check the main oriface for pluging?
Is there snow or ice on the roof blocking the combustion air? Mobile home furnaces use a roof jack that takes out the burnt gas but also supply combustion air to the furnace.