The test light would just stay on if connected between coil (either side) and earth as when you do this, you're by-passing the points which are the switch. The points become redundant in this case. I assume this is how you connected the test light anyway.

Keep trying to isolate all the circuits. Another/sometimes better way to check continuity is to use the voltmeter function instead of resistance/continuity. You should be able to read a voltage drop from any live wire and earth (while the ignition is on of course). It's often better to do this because it shows that the wire has some capacity to pass current. If you're just checking continuity, you'll most likely get the same reading with a good connection as you will with a bad one, as long as there is a connection present. So perhaps try for voltage drops (with multimeter set to 20v scale) all along the ignition circuit. Just keep honing in on where the discontinuity is. Try the low tension wire alone, then from outside dizzy to points, points to earth etc. Just track your way down the circuit from the coil.

Sounds like you're on the right track. You'll get there eventually!