I want to prove that there exist a non time-orientable Lorentzian metric on the manifold $M=\mathbb{S}^1\times\mathbb{R}.$ I have an idea on how to do this but since it's the first time I approach this kind of exercises I would like to have a check of my reasoning...
Let $\theta$ be the coordinate on $\mathbb{S}^1$ and $t$ be the coordinate on $\mathbb{R}:$ my intuition suggests to consider the metric given by the matrix $$\begin{pmatrix}\cos\theta & \sin\theta\\ \sin\theta & -\cos\theta\end{pmatrix}$$ on the tangent space $T_{(\theta,t)}M$ for each $\theta$ and $t:$ this metric is Lorentzian, since for each choice of the coordinates this matrix has signature $(1,-1).$
I know that a metric is time-orientable if and only if there exists a vector field $X$ on $M$ such that $X_p$ is timelike for each $p\in M:$ to conclude I then have to prove that such a $X$ cannot exist. Working in coordinates such an $X=(X_1,X_2)$ should verify the relation $$(X_1,X_2)\begin{pmatrix}\cos\theta & \sin\theta\\ \sin\theta & -\cos\theta\end{pmatrix}\begin{pmatrix}X_1\\X_2\end{pmatrix}<0$$ for each $\theta$ and $t$ (the metric is $t-$indipendent but $X_1,X_2$ are functions of $\theta$ and $t$): a simple computation then gives $$(X_1^2-X_2^2)\cos\theta+2X_1X_2\sin\theta<0$$ The function on the LHS is continuous: since for $\theta=0$ and $\theta=\pi$ we respectively get $$X_1^2-X_2^2$$ $$X_2^2-X_1^2$$ we find that this value cannot alway be negative, hence a timelike vector field $X$ cannot exists.
Is this reasoning correct or are there some mistakes? In this case how can I correct them?
I agree that this metric is Lorentzian and not time-orientable. However, I don't really follow your reasoning. As you say, your coordinates $X_1, X_2$ are functions of $\theta$ (and $t$), and so there's no obvious objection to simultaneously having $X_1^2(\theta = 0) < X_2^2(\theta = 0)$ and also $X_2^2(\theta = \pi) < X_1^2(\theta = \pi)$.
For instance, take $X_1(\theta) = \sin(\theta/2)$ and $X_2(\theta) = \cos^2(\theta/2)$. This is nonvanishing and satisfies your conditions at $\theta = 0, \pi$. Of course, it isn't actually a timelike vector field; for instance, it is spacelike at $\theta = \pi/2$. But your argument alone doesn't seem to be enough to disqualify it.