You correctly point out that the thesis is the most important part of the paper and it really is. In light of this, let me suggest a few ideas to get you started. Also keep in mind that a good thesis must be defended with evidence.
Here are some ideas:
First, it might be good to see how power works in the movie. The central government obviously keeps the districts in oppression. The question is how they do this. In my opinion, they have spun an ideology that seems commonsensical even to those oppressed to keep them in line. This subtle use of power can be an insightful thesis. You can employ many examples from the movie as well as show how this works even in our world today. Along with this, you might want to discuss the relationship among the various districts. They are divided from one another. I am sure that this is intentional.
Second, another possible thesis can be around the topic of what type of society enjoys reality entertainment that has people fight to the death. What makes it worse is that these people are children. You can deal with the issue of morality and ethics. Perhaps a thesis can be: "Any society that does not value human life is on the verge of collapse." Good luck.