Thailand is a popular place for solo travelers. But if you've never been here before, I'd recommend visiting and spending a few weeks getting a feel of the place before you commit to moving here. Finding friends can be tough, but an activity will help. Almost all of my friends here I've met through my muay thai gym, it has a good community vibe. As an expat you have to come to terms with the fact that a lot of your friendships will be transient.
OP said he was approved the second time with the exact same documents. If it was a problem with the muay thai school, why would the embassy approve it the second time?