Explain how Donne's use of paradox helps convey the message/theme of the poem of "Death, be not proud."

Paradox lies at the very heart of this moving yet at the same time playful poem that questions the very nature of death in the light of the hope of eternal life that Christians have. The third and fourth lines introduce this paradox:

For, those, whom thou think'st, thou dost overthrow,

Die not, poore death, nor yet canst thou kill me. 

The paradox, simply put, is that death does not actually cause some people to die. The narrator is thus able to confidently express the fact that he can't be "killed" by death, even though, ostensibly, that is death's job. 

The conclusion of the poem brings this paradox to its completion in the way that it states how death itself has only death to look forward to at the end of time, in comparison with humans:

One short sleepe past, wee wake eternally,

And death shall be no more; death, thou shalt die. 

The ultimate paradox is that, because of the hope in the afterlife and the final ressurrection that Christians such as Donne had, death, although it appears to be so "Mighty and dreadfull," actually is doomed to die itself in the light of the heavenly eternity that Donne believed in.