Thank you for your advice! I might have found the point of problem. I checked gas switch first and there was no power going in. So I checked wire from gas switch to thermostat module and there was no power neither. Another grey wire next to it, when I checked with meter, it has power, 28v. So power is going into thermostat module but no power going out. I just need to get confirmation that two grey wires are power in and power out. Thank you!
I ran into an issue similar to this, I would check the amps on the transformer as well.
I had an elevator go down and the elevator tech checked the transformer and it was reading the correct voltage but after days of no progress, the company had him check the amps which were not correct. Replaced it and no more issues.