I would think if the pilot light works ( assuming it's a 6 or 12 volt), so should the filaments.
If it's an old AC/DC with plug configuration that switched between modes, perhaps it's mis-wired.
That could account for the lack of filaments and the heating issue.
If the primary was NG, there would be no pilot or HV, I would think...
Besides, the primary should have been protected by a fuse.