One theme in Thank you, Ma'am is the power of compassion. After nearly having her purse stolen by Roger, Mrs. Luella Bates Washington Jones has every right to turn toward him in anger and even demand some form of justice. However, she meets Roger with compassion, going so far as to open her home to him. Mrs. Jones has a keen perception about Roger's circumstances, and when he tells her, "There's nobody home at my house," Mrs. Jones provides a meal to this wold-be thief.
The story ends with the note that Roger "want[s] to say something else other than 'Thank you, m'am'" for the compassion he's been shown, and although it is noted that the paths of these two never cross again, it seems that Mrs. Jones has given Roger a reason to choose a different path in life.
Another theme is that human strength can be found in unlikely places. Roger certainly doesn't choose a "victim" who he thinks will put up a fight. Not only does Mrs. Jones retain possession of her purse, she also effectively takes control of the situation:
But the boy's weight and the weight of the purse combined caused him to lose his balance so, instead of taking off full blast as he had hoped, the boy fell on his back on the sidewalk, and his legs flew up. The large woman...
simply turned around and kicked him right square in his blue-jeaned sitter. Then she reached down, picked the boy up by his shirt front, and shook him until his teeth rattled.
Furthermore, she chastises the boy and questions whether he's ashamed of himself. Roger underestimates the wrong lady, and Mrs. Jones proves herself a fearless adversary when attacked.
Finally, in the fallout of an attempted mugging, this story explores one final theme: the duality of trust. Mrs. Jones has to extend trust to invite Roger into her home. Likewise, Roger has to extend trust to allow himself to be led away into her home and to remain there when he realizes that he has the opportunity to bolt. In order to mend relationships and society at large, people must extend trust to each other, even in difficult situations.