I'm with #3 on this one. Even works which are rambling and unfocused and reactionary (as opposed to focused and intense and reflective, let's say) generally have a point, at least, if not a theme. The suggestion given by ask996 is a good one. "Girl" looks like just a lot of random thoughts jammed together in a paragraph; however, a closer examination reveals a set of guidelines for being a successful and happy Jamaican woman. I would suggest that works which really do not have anything to offer are not well recognized or well known because they're not read with any regularity nor do they create a committed readership such as the great works of literature do.
I have to respectfully disagree with the play Waiting for Godot being suggested here as having no theme. The fact that the two men spend the entire play waiting for someone to come and tell them what to do makes the play almost "plot-less" (or action-less) but the act of waiting rather than taking action to create something for themselves seems an obvious theme, especially in connection the ideas of exisitentialism with which Beckett is so often associated.
Flash fiction or short-short stories might be your best option if you are searching for stories with no (or no easily) discernible theme. As these pieces of prose are reactions to events that have already transpired outside of the story the theme might be missing or more difficulty to find. Jamaica Kincaid’s short, short, “Girl,” might be a good place to start. The following is a link where you can read it online.
This is very difficult since most stories have at least one theme, but I agree with post #1 and experimental literature. The one that comes to mind is Waiting for Godot.
In addition to what the honourable Professor above offered as useful guidelines towards an outline approach of works without a clearly delineating plotline, I would also mention Laurence Sterne's Life and Opinions of Tristram Shandy, Gent. But be careful and take this peculiarity with a grain of salt. I am not sure if there can be any literary work with no theme whatsoever, no matter how disrupted the narrative may appear.
Plotlessness or the lack of a chronological and realistic narrative in a bid to play around or experiment with the form are common enough features of the avant-garde literature of the 20th century. However, a complete absence of thematic content is next to impossible and thus not found easily at all.
Let us look at a few examples of short stories where there is an almost absolute eclipsing of thematic content with the shift of emphasis on to form, structure and language.
In Julio Cortazaar's stories, e.g. Blow Up or The Continuity of Parks, there is a complete obfuscation of story by narrative games. In Italo Calvino's Cosmicomics, especially a text like t-zero, in Samuel Beckett's later short prose texts like Imagination Dead Imagine, Fizzles, in Borges's Pierre Menard and other stories, in some of Marquez or Fuentes, this tradition can be seen and noticed. These are not examples of theme-less stories however. They perform a post-structuralist critique of thematic content and its conventionally accented status.