You should have filled out the lost luggage paperwork at the airport where you did not receive your luggage. The air carrier (TAP, UA, etc) that flew you to this airport is then the responsible carrier for locating your luggage. So, if TAP took you to this destination, then TAP would be the ones to locate your luggage.
In my experience with lost luggage on international flights, the airlines say that the passenger must first file a lost luggage claim (at their destination) before the first airline (UA in most cases) will even re-tag and forward the luggage on.
I am so sorry that you have to go through this. Maybe you should go back to the airport and follow the issue up with TAP, and make sure the proper forms are filled out - and entered into their baggage tracking system. Also, inquire about the getting reimbursed for personal items that you will need while you do not have your luggage.