The full title of the story, “The Sadness of Cornelius Berg,” will give you a good start. If you would like to take the easy way out, feel free to choose "sadness" as your theme; however, I thought I would give you a bit more grand of an idea. How about using the theme of nostalgia vs. regret? Nostalgia, of course, being the fond recollection of memories and regret being the negative thoughts surrounding them. Even though this story is but a fragment at the end of the collection, the author (Marguerite Yourcenar) even admits in a former postscript that this particular story unites the collection into a "nice balance" and "pulls the reader back to Europe" in the midst of a collection called Oriental Tales.
You can see how theme of the positive/negative of nostalgia/regret would work well with the artist mentioned in the story. Even though it is a short sketch of the character, he is in the same league as Rembrandt. He has wandered throughout all of the continent of Asia and has now returned to Europe (and specifically Amsterdam) in order to think on his past.
Yourcenar portrays characters who live with the knowledge that they have lost their liberty, their vitality, their reassuring illusions. Too preoccupied to hide their own distress, too proud to act differently, they lock themselves behind solitary walls.
The artist's current living in obscurity in this large, notorious Netherlands city is another hint that the artist in the sketch tends to lean towards the "regret" side of the equation. The quote above gives the key to the transition of the discussion of the question due to nostalgia: pride. Above it is noted that Yourcenar's characters are always "too proud to act differently." Cornelius Berg is no exception. It is only the prideful times of his past that give him some solace because he has lost his other "reassuring illusions." In Amsterdam, he has most certainly locked himself "behind solitary walls."