Does the firebox touch the ground or come in to contact with ANY electrical component? If so, then it is grounded.
If you assume a single sided reading on your thermocouple, the low side is connected to power ground. For safety the power ground is likely connected to earth ground at the power supply. The firebox touches earth ground. Therefore when the thermocouple high side touches the firebox, it is now touching and connected to ground. Do you get the same bad result as you list in the OP if you take a piece of copper wire and connect thermocouple + and - (you don't need to remove the thermocouple to test)?
Using thermocouples to for direct contact measurement is tricky as you have just encountered.