Thurber's secret in writing his humor pieces and drawing his cartoons was to make humor out of pain. He did this so successfully over many years that he was famous in the United States and Britain. As he grew older, however, and his vision became increasingly impaired, his hidden bitterness and pessimism began to show through. He was one of the creators of The New Yorker magazine, but the time came when he had to endure the humiliation of having his submissions rejected because they were no longer funny. At one point he wrote in a letter:
I can’t hide anymore behind the mask of comedy....People are not funny; they are vicious and horrible--and so is life!
This suggests that he knew all along that he was hiding behind "the mask of comedy." His pain can be detected in many of his best-known works, such as "The Secret Life of Walter Mitty." He became disenchanted with marriage too. He writes:
It’s for life. All the tinsel and the glamour and the glory, and soon it all becomes one smelly substance.
Making humor out of the conflicts that inevitably go with married life had been one of his main themes for decades, as can be seen in such pieces as "The Unicorn in the Garden," "A Couple of Hamburgers," and in many of his cartoons. But he lost the ability to see the comical side of life, along with his ability to make money by transforming painful life experiences into amusing stories and pictures. He was totally blind when he died.
The best collection of Thurber's fiction, nonfiction, and drawings is to be found in The Thurber Carnival. His autobiographical work The Years with Ross tells about his career with The New Yorker and its first editor Harold Ross.
I think that there is a disappointment within Walter Mitty that makes him a character of Romantic proportions. The wording of the question is subtle, but also one that requires examination. In the most literal senses of the question, Mitty is not a "disappointed Romantic" because he never tires of the Romantic condition of dreaming. Like all good Romantics, Mitty sees the power of dreaming as essential to his being. He is not disappointed with this tenet of Romanticism. Instead, Mitty reverts to it throughout the narrative. In this respect, he is not a disappointed Romantic.
Perhaps, a more viable case can be made as whether or not Mitty is a disappointed individual who reverts to being a Romantic dreamer. This makes a great deal of sense. Mitty's dreams are activated by the frustration he experiences in his daily life. For Mitty, the ability to be dream is where his Romanticism is evident. This only comes about due to his frustration in daily life. Mitty's disappointment with daily life is where his Romanticism is shown. I think that this is where one can effectively link Mitty's Romanticism with frustration.