A major theme of the story is war. It is set during the Second World War, in the aftermath of an aerial bombardment in London. The Drovers have relocated to the country to escape, but Mrs Drover is obliged to come back to their family home in London to collect some belongings. The house, and the streets all around bear signs of war-damage.
Furthermore, the 'demon lover' of the title is a soldier who went missing during the First World War. So, both world wars are referenced in this story and help create a mood of underlying tension.
It can be said that the pernicious influence of war is seen not just in the damaged buildings but also in Mrs Drover's psyche. She is nervous and jumpy, and the thought of her long-lost lover who appears to have mysteriously left her a letter, increases her sense of foreboding.
Another theme of the story is the power of the past. Mrs Drover's soldier-lover is a potent symbol of this. When she remembers him, the twenty-five years since she last saw him seem to just drop away. This suggests the hold that he's always had on her and indicates that her later life as the wife of another man has actually been of relatively little account to her.
In fact, Mrs Drover feels the emptiness of her married life the minute she returns to the deserted family home, as is clear from the following quote:
The hollowness of the house this evening cancelled years on years of voices, habits, and steps.
When, at the end, the mysterious taxi-driver makes off with her, it seems that her long-lost, repressed past has returned to claim her in its entirety.