Thread the machine with the foot up. Adjust the tension up. Put the foot down and pull on the thread. If there is no resistance in the thread, it isn't threaded right somewhere, or not in the tension discs all the way. I'm saying increase the tension to feel any resistance as embroidery tension is lighter than sewing. I've had the thread pop out of the takeup lever and not notice it. I got those nests with a vengeance. Someone showed how to "floss" tension discs with a dollar bill. You could just have a broken thread in there.