Every story has a theme. Every story say something. Something about which we care (or we would not care enough to read it), something we can relate (or we could not relate to what it's happening in the story). Something that talks to us as human beings. That talks to us about our values, about our life, about something that is in general of human interest (even if we personally don't care about one particular story, some other human being will. If that is really a story)
Some people want to play a story when they play a role-playing game. Some people don't care about it, maybe they prefer to win miniature battles, or they want to "play pretend" to be a cool prince of darkness at a party or something different, but it doesn't matter, we are talking about the first group of people here.
How do you define a theme? If it's something of human interest, humans have questions about it. A theme is an answer to one of these questions. Two different stories can have different answers to the same question.
Let's return to RPGs: if you are playing a story, you are saying something. Your story, at the end, will have give an answer to at least one of these questions, or it will not be a story. The problem is: Who gets to answer that question? And how?
Let's call Premise the question, and Addressing the Premise the act of answering that question.
Sometimes the answer is predetermined, fixed, at the beginning of the game. You want to play to repeat that answer, to testimony to each other how much you agree to it. But if you start playing with that answer already given, unchanging, no matter what... you didn't Address Premise during the game: it was already addressed before you even started to play. (This is characteristic of story-related Right to Dream play, but it's not enough to assume coherency).
Sometimes the Premise is addressed during the game, but not by everybody: only the GM decide what happen, and the players have no say in the matter, even if they don't know it (see Force, Illusionism, Partecipationism, Railroading). Or maybe it's not the GM, but some of the players that bully the rest of the group into submission. Or maybe all the players look at one of them, worshipping at his feet and doing everything he wants, but no matter: in all these cases, one (or a few) get to answer that question, the other players don't.
The third option is what happen when people play with a Story Now Creative Agenda: the players (GM included, if the game has one) collaborate during the course of the game, with the collaboration mediated by the game System, in trying to Address the Premise: they try to answer that question, during the game. Not with out-of-character discussions or something like that, but by playing the characters in the story. In this way, the answer is not predetermined, and you play to discover it. Even if you are among the people that are creating it by playing the game. You are both audience and author, at the same time.
Lajos Egri -The Art Of Dramatic Writing (Chapter 1) - the first chapter is free to read online.
Anyway, 2005 -Creating Theme) - a recipe for "Story Now" role-playing