The contrasts between the two works are striking. "The Garden of Forking Paths" is work of fiction, written in the 1940s in Spanish by an Argentine writer. The Gospel of Mark is a work of non-fiction (whether one agrees with the historicitiy of it, Mark was not written as a work of fiction), written in the mid-first century in Greek by an unidentified author. So the works' genres contrast, and the authors' primary purposes and worldviews differ (especially perhaps in their views of time). One is written as thought-provoking entertainment and art; the other is written as biography.
There are some similarities between the two works. While the two works may offer alternative explanations for time/universe, there is a sense in both that the protagonist is in control of his destiny (and perhanps not bound by time) and chooses to die to save his own people. Indeed, in both works the central character is keenly aware that the only means of saving his people is execution as a criminal. Both protagonists willingly sacrifice themselves for others (see, for example Mark 15:1-15, where Pilate is not convinced of Jesus' guilt). Of course, in the short story, Yu Tsun is guilty of espionage and murder. In the Gospel of Mark (as in the other NT Gospels), Jesus is innocent of any sin.
A thoughtful essay on these two works could encompass any or all of these themes: the heroic sacrifice by the protagonist, the nature of destiny and the protagonist (i.e., is the hero really in control or is he doomed from the start), and the nature of time in fiction and non-fiction (i.e., how does the narrator view time and how does this view relate to his genre?).