Not all routers support loopback addressing, and not all routers support UPNP. However since you mentioned that you forwarded port 5127 I'm guessing UPNP is not an issue. Does your router support loopback addressing? Easiest way to check is to go to http://<your external IP here> -- if you end up on your router's page, then it doesn't support connecting to your computer using an external address.
This is why TNet uses a pair of addresses -- an external one, and an internal one. It first tries to connect to one, then the other.