As long as it was checked in by TAP and not another airline they'll have the bag numbers in their system. You should have found out who handles TAP luggage. They're the one the you would file with. Just because the TAP service desk is closed doesn't mean anything when at an airport where the airline doesn't handle ground. Someone should have been able to point you to the ground handling agent for TAP. Unless it was late overnight they would be there for any other airlines they handle.
Since didn't fill out the paperwork the Customs agent was correct that you must return to the airport. Part of the paperwork is a customs declaration and release, allowing the airline to act as your agent in clearing customs for your bags.