If I were writing an essay about the world McCullers creates in "The Ballad of the Sad Cafe," I would discuss Miss Amelia's isolation, Macy's complete lack of a moral compass, and McCullers' "fascination" with misfits and the grotesque.
Miss Amelia is a woman who is surrounded by loneliness. She marries Macy, knowing what a despicable person he is. This instills in the reader just how isolated Miss Amelia feels. And in taking him as her husband, perhaps we can understand that she would rather be with Macy than by herself. However, she is unrealistic to believe that someone like Macy could be put off from the physical side of the marriage: something perhaps she does not clearly contemplate prior to saying "I do."
In stepping back, one might be able to make an argument for isolation and loneliness in the lives of Lymon and Macy as well. During the story it is easy to feel sympathy for Lymon's sense of distance from society, and difficult to care about Macy's separation as he brings it on himself. However neither of these characters has any emotional connection of any sort, except, to some extent, with Miss Amelia. (And though Macy is hateful with Miss Amelia, hate is an emotion, though a negative one, and perhaps this fits for the dysfunctional Macy.)
In terms of Macy, his heartlessness and rejection of Miss Amelia can be seen when he returns after a lengthy absence to the "cafe" she and Lymon have created. Lymon's company has filled the gaping void that she had hoped Macy would fill at one time. Macy is perhaps even more mean-spirited than before, and vengeful, too. It is not enough to destroy the cafe, but he takes Lymon with him as well.
Is it possible, in terms of a moral compass, to include Cousin Lymon? How can he be so easily turned from Miss Amelia who has taken him in and cared for him? Perhaps his compass is simply "broken."
In terms of misfits and the grotesque, I find that this theme seems to apply to all three of these characters: Miss Amelia, Macy and Cousin Lymon.
All three characters are misfits. Not one of them is portrayed as "normal" or "average." Each struggles to fit in. Miss Amelia and Lymon become unlikely partners, joined by their common alienation from society in general. Macy is a misfit, too, but he is also grotesque. His soul is black and ugly. His pleasure comes from abusing others. Seemingly sadistic in nature, he thrives upon causing emotional harm to others. He empties is wrath on Miss Amelia and then leaves, but takes Lymon with him. (One wonders what will happen to Lymon after they are gone—though he is influenced by Macy, is it fair to say that Macy and Lymon are really that alike?)
I believe it is possible to link the angle of misfits/the grotesque to alienation/isolation.
There are several themes here to choose from: the last one links all three major characters. In making this a personal essay, I assume you can choose your position and need only to support your general statements with specific examples from the story.
In your writing, it might be helpful to focus on the following quote found in the Critical Reception section of eNotes.com's summary of The Ballad of the Sad Cafe.
...'too much is made of dark nights of the soul and of things going on there that only God can understand.'
I don't believe too much has been made of this in McCullers' work; in fact, the aspect mentioned might be worth contemplating in your essay.
I hope this helps.