You could draw several themes from the story, but one could be that life's best gifts are often not the things we plan or expect but come as complete surprises. This was certainly true of Anne, who was the best thing that ever happened to her adoptive family, so set on having a boy.
You could formulate another theme around the gender issue, but this is not necessarily the crux of the story. Anne's imagination, her generosity of spirit, her ability to transcend the commonplace all take a greater place in the story than a simple tale of the battle of the sexes. Perhaps the message is the age-old adage: "Bloom where you're planted." Anne certainly did.