Hello :)
那么 means a few things depending on where you use it;
(那麼), 我們出們吧 (in this case it means "and so", or "then", or "in which case" lets go out.)
這個句子沒(那麼)清楚 (in this case it means "that" and it's useful to think of it in this sense- "this sentence is not THAT clear"
So when you're saying 那么孤独 it means "I'm THAT lonely", as if to say "I'm am so lonely, THAT's how lonely I am".
这么 is a little different.
这么 means this, but it can also be put into the same kind of context as the sentence above (这么孤独) means "I am THIS lonely", and as you can imagine, it's the same kind of idea.
如此 I've not heard many times before, I would say it means "so" (I am SO lonely)
多么 I've never heard before, and I dont know how to use it ;)
Hope this is useful :)