Try turning one of the two pieces around that won't connect together.
I had this same problem. I was trying to connect the last piece that came with Keith to the rest of the sword based on the drawing of the sword, paying careful attention to line up each side as shown in the drawing (since the "blaze" effect varies a bit on each side), and it wouldn't budge. After quite a lot of time fighting with it, I pulled them back apart (which wasn't easy), and then for the 'heck of it' decided to see what happens if I flip the top piece around the other way. It snapped right together with no problem and no major resistance.
So, it was Mattel's drawing that was technically incorrect, I guess. It looks fine connected together the way that it is, but I was just trying to be careful when assembling it, and ran into trouble following Mattel's instructions.
Like I said, I was able to get them apart, but it wasn't easy. And this was after putting A LOT of strength and effort to try to connect them together. I had to put a good amount of strength into pulling them apart, but I was careful not to overly force it. Be careful... but if it's anything like mine, it should be possible to get them back apart and try it the other way.