I have the same problem, but with me its the other way round... it looks for a debug dir but the target is actually built using the Release config.
I tried setting TM_BUILDSTYLE to Debug in the Shell Variables preferences tab but that didn't help unfortunately.
If I only understood Ruby better I might even figure out where in "/Applications/TextMate.app/Contents/SharedSupport/Bundles/Xcode.tmbundle/Support/bin/run_xcode_target.rb" it does the selection of the build config and based on what....
Andre