There might be something too near the volume antenna. Ensure the theremin is placed on a mic stand - not on a table. Be certain that no cables are in proximity to the volume antenna. Any object nearby will diminish or completely cut off the volume.
Test your amplifier and audio cables with a different instrument. Use a voltmeter to check the power adapter: set the meter to measure AC volts. Measure between the two outer pins of the adapter (at 9:00 o’clock and 3:00 o’clock).
You should observe a reading between 14 to 16 volts. If your adapter is functional but there is still no volume, refer to Tuning the Volume Circuit.