By default port 5129 is used for the lobby server. TNet uses port 5127 for the game server. Furthermore why are you specifying a lobby port there? You should simplify your server instantiation. Keep it trivial:
TNServerInstance.Start(5127, 0, "server.dat");
What's your actual connect code? It should be:
TNManager.Connect("127.0.0.1:5127");
Replace 127.0.0.1 with the actual external IP address of where this server is hosted, or it will only work when executed locally on the same PC where the server is started.