cooker grill?

i have a country leisure cooker fitted in a 1998 coachman 390/2 caravan which i have just bought however the grill will will only stay lit if the control knob is kept depresed the is a sticker on the front of the caravan saying lpg however as i always used the blue cylinder that is calor gas that is what i am using the oven and 2 burners are fine ,could you inform what i have got wrong.Thanks in advance