The threads on a union don't hold in the pressure, they just draw the mating surfaces together. Don't put paste or tape on them. You can lube the threads to make it easier to tighten.
Open up the union, see if there are burrs on the bell or boot (right terms? the convex and concave mating surfaces). They also can't have misalignment. You need to crank them down tight for air service.
In my old shop I replaced them with straight couplers. No leaks after that, could leave the compressor valve open.