Thanks for the photo, as now I understand what you are meaning as to what is happening.
Sorry, I am not familiar with Tula Pink thread.
What type is it? and its weight?
It looks very fuzzy.
While you said Denim needle ... what size?
As you suggested, my first thought is that the needle hole is too small for the weight of the thread.
The fuzzy-ness of the thread has me concerned that is where your bunching is coming from,
with fuzz/lint coming off, and building up as it goes through the needle,
and then not letting the thread flow through freely.
Totally guess work here for me ... in not knowing anything about the Tula Pink.