It doesn't work because $T,p$ and $\mu$ are not extensive variables.
The natural variables for the internal energy $U$, $(S,N,V)$, are extensive, i.e. they are additive for subsystems: if I put together two systems of entropy $S_1$ and $S_2$, the total entropy is $S_1+S_2$. The same is valid for $N$ and $V$, but it is not valid for $T,P$ and $\mu$.
So it is true that $U$ is homogeneous of degree $1$ in $S,N$ and $V$:
$$U(\lambda S, \lambda N, \lambda V) = \lambda U(S,N,V)$$
and therefore we can use Euler's theorem to write*
$$U = \frac{\partial U}{\partial S}S+ \frac{\partial U}{\partial V}V + \frac{\partial U}{\partial N}N = TS-pV+\mu N$$
but $U$ is not homogeneous in $T,p$ and $\mu$.
Therefore we cannot write
$$U = \frac{\partial U}{\partial T}T+ \frac{\partial U}{\partial p}p + \frac{\partial U}{\partial \mu}\mu$$
$^*$ More details here.