The following is taken directly from enotes:
Faulkner, through his narrator, shows the willing blindness of Southerners to the injustices of their society.
Coming of Age/Loss of Innocence
In ‘‘That Evening Sun,’’ Quentin Compson, the narrator, moves from childlike innocence toward a sadder but wiser adult experience in the course of the story.
Darkness and Violence
For Nancy "that evening sun'' represents the danger that her absent lover presents to her. Jesus—whose name is likely an ironic joke on Faulkner's part— represents danger and violence to Nancy, and he will wait until night has fallen to fall upon her.
Use the provided link to further read about these themes.