My sympathies, it's very frustrating and I get this too, with one thread seemingly magicking itself out of the needle without breaking. Drives me mad and I've no idea how it happens.
Order of threading is often something manuals leave out, for some sadistic reason. I think the manufacturers hate us....
Order should usually be
1 - upper looper
2 - lower looper
3 - left needle
4 - right needle.
There may be some machines that differ, but I've never come across one, so unless you're told otherwise in the manual, follow this order.
Always have presser foot lifted when you thread, to ensure thread seats into the tension discs properly.
If there's a bit of needle floating around inside your machine, you need to get that out as that will definitely cause a machine to be unhappy. Unplug it from the power cord, turn the bastard thing upside down with the doors open and give it a gentle shake over a sheet of paper. That should dislodge the needle tip. then use a vacuum and the thin attachments mentioned above by a previous poster to remove dust and fluff internally.
Refit both needles, checking they're inserted correctly (usually flat side to back, and pushed up as far as possible into the channel). Left needle should sit lower than the right. Turn fly wheel by hand to check needles don't get smacked by the loopers as they drop down into the machine bed. Adjust and refit needles if they do touch.