The main characters in The Sun Also Rises are expatriates, who have already escaped from their native countries and are spending their lives in continental Europe. They are based on Ernest Hemingway's own circle of friends and acquaintances, who were living a deracinated life in Paris in the 1920s, which led them to be known as "the Lost Generation."

A good thesis statement about the ineffectiveness of the characters' escapism in the novel would suggest why it is ineffective. One of the reasons which Jake Barnes suggests to Robert Cohn is that they are actually trying to escape from themselves. Robert says that he wants to go to South America, and Jake replies,

You can't get away from yourself by moving from one place to another.

This provides an excellent thesis statement, which applies to Jake himself, as well as Robert, Brett, and Mike. You might adapt it slightly by talking about other ways in which the characters attempt to escape themselves other than through travel. One of their principal methods is by getting drunk, and another, which applies principally to Brett, is through sexual promiscuity and love affairs. An example of a thesis statement covering this area might, therefore, be something like this:

Jake warns Robert that "you can't get away from yourself by moving from one place to another." In The Sun Also Rises, Hemingway shows the ineffectiveness not only of travel but also of alcohol and sex, as ways of escaping from one's own failures and inadequacies.