Yes, this is the prominent theme. In case you need to study the story further, you might consider what Thurber might be communicating through this theme: what is he saying about those who daydream as well as the world they are trying to escape through daydreaming? To understand this, you can look closely the contrast between Walter Mitty in real life and the persona of his daydreams.
1. What are the real Walter Mitty's character traits? (does he have any noticeable virtues, or special skills?) How is he treated as a consequence?
3. Now consider the daydream-Mitty's virtues and skills. Note how he is treated as a consequence.
Everyone wants to escape reality to some degree at some point of their lives. "The Secret Life of Walter Mitty" offers us an extreme example--a man who seems unable to function in the world without daydreaming. Is he a sympathetic character? (Can we relate to him, or not?) Did Thurber mean to portray Walter Mitty as the victim of a "feeble", possibly emasculating modern society and over-aggressive wife? Or is he unsympathetic--merely a pitiful figure who deserves the mocking, harsh treatment he gets? A little of both?
Your answer will help you determine what you think the author is trying to convey with the escapism theme.