I see three clear themes in "Thank You, Ma'am" by Langston Hughes: loss of innocence, second chances, and compassion for humankind.
In Roger, we see a boy who is maturing into a young man. However, at the onset of the story, it appears as though his life is headed in a negative direction. We infer from the story that this episode of purse-snatching is not Roger's first transgression with the law. We sense that he has lived a troubled life with few, if any, adults to love and care for him or provide positive role models. In Mrs. Jones, we see that positive role model emerge. Despite Roger's waiting to be punished or "taken to jail" for his crime, Mrs. Jones shows Roger compassion and offers him a second chance.
The story "Thank-you Ma'm." a boy tries to steal from a woman who grabs him. The woman has the boy go with her to her home. The boy is nervous and follows her. He contemplates running but she shows him some trust so he stays. The woman gives him the money for the shoes that he desires and tells him that he needs not to steal but that she has desired things once herself.
I believe the theme is empathy. The woman seems to have made some mistakes of her own in life so she can relate to the boy's desires. She does not want him to steal though. Out of kindness and a desire to help him she gives him the money.