I had the same problem and for me the solution was to build an adf in WinUAE. I created the KICK31.ROM in a OS3.1 session with GrabKick, put it in the same directory as TKG.EXE and then executed TKG.EXE in a Kickstart/Workbench 1.3 session.
Things i learned along the way:
- Rom images i found on the net because i was lazy were not recognized
- Naming of the roms has to be uppercase.
- Patched Kickstarts don't work at all