creditchris - I would work my way up the circuit, by removing the whole want next, where tot joins the machine. Then check if steam comes out. If it does, your want is blocked. If not, it might be the tap. You can also remove the tap and inspect, it’s very easily done. Just open the machine cover and undo the nut. Check the tap can move freely and that it can be open and closed properly. As you are there, take this opportunity to give some love and care and clean/lubricate the ball joint on the wand and the o-rings on the tap.
Please make sure machine is off and cold when you do this!
Also, I know it sounds stupid… but could it be the handle (I.e.: the steam knob) is damaged and you are not actually opening the tap?