On the baby and other Smok tanks, the chimney has to screw into the top of the coil for the whole tank, including the glass, to come together as a unit.
Maybe the threads are a little rough? Could try a few drops of juice as lubricant.
I always screw new coil into the base first, but you might see if top of coil and chimney will screw together. Could be a defective coil too.