Ok,
lets get you educated on what part is what, so we are all talking the same language.
So........
what you thought was the nozzle (#2) is an nozzle cap.
as for the nozzle, please dont just soak it, put it back on the brush and blast away. if there is crud in there then all you're going to do is fill up the hole again. If your nozzle is dirty then as suggested, soak it..... for a few hours.... Createx restorer is a great product, way better than thinners. its reusable so its economical, just get a small glass jar / solvent proof small plastic container and put some restorer in it, remove the seal from the nozzle, put is somewhere safe, and drop the nozzle in the liquid (trying to make sure you dont have an air bubble in the nozzle) and go and find something else to do for a few hours.
When you return, remove the nozzle, grab a long bristled artists brush and 'poke' inside the nozzle to aggitate the paint that will be sitting on the inside. you can push a few bristles of the brush through the hole and get paint worms if there is enough stuff in there. Once you've done that, put it back in the restorer and leave it again for a few hours. Repeat as above.
Be warned, this is fiddly and can be frustrating for some.
Once its had its double dose bath then rinse, replace the seal and put back on your brush.
You're not done yet, so dont go filling up with paint just yet!
Sticky trigger:
As suggested prior, check out the thread that was linked and read all of it, not just the first few posts, it seems to be a common problem but easily remedied.
The air valve assembly is #14 & #15 on the diagram.
aside from possibly the spring causing grief as described in the thread it is possible that the o-ring (#14) has swollen due to the thinners you have been using, if you have been a little overenthusiastic with it and it has spilled down the trigger. Its also possible that you have overtightened the valve body (#15) and its squashed the o-ring and its 'grabbing' the piston and not releasing properly.
You can certainly buy a replacement o-ring if you suspect that may be a problem but you can also do some hunting at the hardware store (or anywhere else you think may sell o-rings) and get a couple to put in your 'kit'
Wow, now I have writers cramp
Hopefully you will be on the way to a clean brush and getting the paint flowing and the trigger both into their happy places
I suspect the paint has built up over time and its now at a point where you're seeing problems and your use of thinners has leaked into the trigger area and caused the o-ring to swell.