It may be that the valve has dropped away from the valve face and it may be stuck to the valve rod or buckle by a bit of dirt, dried oil, or rust. You mention air for your test – with steam, the valve may re-seat on its own if that is the only problem, where sometimes with air they will not. With the engine and boiler cold and everything at zero pressure, take off the steam chest cover and investigate. The valve must be free to move off and on to the valve port face on the cylinder by a few thou. A little oil or grease on the valve will help hold it to the face but will keep it lubed until you raise steam again, if there are no other faults visible.
The problem could also be caused by a broken valve buckle, broken valve rod , misadjusted valve, or a scored face on valve or port face, or a few other possible more horrendous gremlins. I hope it's nothing so serious, but a quick inspection with cover off will soon show what is going on.
JD