Brian, you do mean the nozzle cap, or just nozzle?
The nozzle cap is just a dome with a hole in it that the needle should poke through when it is all assembled. Presumably you can see the needle tip when it is all assembled, and you can see daylight through the hole in the nozzle cap when it is off the airbrush?
With the nozzle out, can you slide the needle right through the barrel of the a/b easily, like push it in from the back and all the way through?
When you assemble it, you put the nozzle on first, tighten gently, then put the nozzle cap on, tighten gently, then the end cap, tighten gently, and only then put the needle in and only push it very gently until it seats with the nozzle then tighten the needle? Nothing needs to be tightened up with tools!
That bubbling when backwashing is pretty normal I think.
Ultrasonic cleaning... how far did you strip it down to do this? What made you feel you had to do it at all? I'm not accusing you of making a mistake
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just wondering if you damaged something, forgot to reassemble something etc.