For short stories and novels, we commonly discuss the central theme or central idea. This is also sometimes called the message.
Theme - the central and dominating idea in a literary work.
Using "thesis" to describe a theme, idea, or message in a story is not entirely accurate as it positions the text as an argument. However, some instructors prefer this term for its familiarity with students.
Some (not especially common) stories are formulated as arguments, proving a specific point (polemic), but more commonly stories can be said to express ideas, and explore topics, characters and experiences rather than arguing a point.
With this being said, we can look at how to identify a central theme or main idea in a short story.
The question to ask is: Beyond plot, what is this story about?
This question should have you looking at the situations explored in a story (divorce, relationships, adventure, risk-taking, acting, etc.), the feelings and attitudes of the characters (guilt, love, fear, hope, creative thinking, etc.) and other subjects present in the story (gambling, sports, competition, dinner, family time, law, justice, race, friendship, music, reading, writing, etc.).
Another way to pose the question here is to ask: What is the story interested in? (This is not the same as asking what the author is interested in.)
What ideas does the story present? What concepts dominate the narrative?
There can be multiple answers to these questions.
To provide an example, we can look at William Faulkner's short story "A Rose for Emily".
This story has no "thesis", but has a number of prominent themes. It is a story about bitter pride (Emily demonstrates pride in a number of instances, refuses to change with the times, and claims the man she chooses by killing him). Notice, these details come from the plot, but in this brief selection of details we are not rehashing the plot of the story. Instead, we are selecting details from the story that relate to the idea of bitter pride, one of the story's central themes.