These two narratives offer quite different characters and dynamics, but they do have at least one theme in common. Each is interested in delusion, illusion, or self-induced fantasy. Each presents a protagonist that is fixated on ideals of the past, personal qualities that were once honored but have since become antiquated, to some degree.
Willy Loman is a man dedicated to a vision of success that he will never attain, perhaps because it is founded on the story of his brother, a unique individual with a story nearly impossible to duplicate. Also, Willy bases his ideas of success on notions that have become obsolete. The business of sales has changed, but Willy has not changed with it.
Willy fails because he cannot stop living in a reality that does not exist, and which dooms him to fail in the reality that does exist.
Emily, in "A Rose for Emily", is dedicated as well to the virtues of a world that has ceased to exist. We see this in her refusal to pay the taxes assessed to her and in her continued haughtiness as she assumes to occupy a position that no longer exists for her (or for anyone). Reality, it would seem, is subject to her refusal.
She may even be mad—she denies that her father is dead at first and she won’t allow anyone to remove his corpse until she breaks down after three days.
Her ultimate denial of reality is revealed at the story's end, when her former lover is found dead in an upstairs bed. The corpse demonstrates Emily's fantasy and her psychotic attachment to the idea that time should not remove her from the past.
Delusion is a significant element of each of these characters.
Comparing the stories formally, we can also see connections in the use of flashback as a narrative technique and a presentation of certain characters in a symbolic fashion (Ben Loman; Emily's father).