First of all, you need to consider what illusion is and then put it into the context of Macbeth. I will guide you as obviously, your thesis statement must be supported in your essay and you will derive a conclusion based on your thesis statement.
Illusion is something imaginative which creates a false impression. It can be revealed as good or bad. It can also manifest itself in reality and become 'real' - as with Macbeth and the witches. They represent an illusion - a figment of the imagination but they are Macbeth's reality. They are what drives him. However, not being real, they need an outlet by which to turn illusion into reality - Lady Macbeth and Macbeth's own ambition!
The argument remains about whether Macbeth is purely a victim of the witches or whether he is instrumental in his own downfall
This expresses an important and readily observable truth about human nature.
Illusion is just that and is not the determinant of the future. Free will is the dominant force but some are more guided by illusion than reality and so the illusion is reinforced by the natural tendencies within Macbeth and Lady Macbeth. They would appear to be inherently wicked or they would not have been so affected by the witches prophesies.
Macbeth -deluded by illusion(!) believes that he can rise to be king and Lady Macbeth has the illusion that she can drive her husband - because she does not think he is strong enough to achieve it alone. Lady Macbeth believes less in the witches and more in her own 'power.'
So a good thesis statement could be :
Deception, false impressions and an over- inflated belief in one's own contribution to destiny all create an illusion by which some poeple live - and die! Macbeth supports the view that whilst all is not as it seems, the future is not predetermined and one's own grasp of reality - or lack thereof - has an influence over the sequence of events and the outcomes.
Refer to the eNotes study guide and navigate to the character summaries and themes and so on to obtain the information to support your statement.
A thesis statement must be direct and clearly state the point.