Very interesting question. Overtly, "Through the Tunnel" is not a moral story, rather it focuses on the "rite of passage" that Jerry goes through to move from childhood into manhood. However, one of the larger moral questions which I think this story asks concerns our fears in Western society about exposing our children to risk and danger, and therefore robbing them of the chance to prove themselves and go through a "rite of passage" existence such as Jerry did.
There is an interesting theory that argues that in the West we have such problems with adolescents going through the teenage years precisely because we, unlike more primitive, tribal societies, do not have clearly demarcated transitions from childhood to adulthood. Such tribes have a variety of initiation rituals that usually involve some sort of danger, risk or physical pain. Once the child has completed this task or trial, he or she has become an adult. Ngugi wa Thiongo, an African author, describes such a ritual, involving circumcision, in his book A River Between.
In Western society, however, because we protect our children too much, they do not have an equivalent ritual, and thus like Jerry, either need to find one for themselves or they exist in this in-between state between adulthood and childhood and problems result as a consequence. "Through the Tunnel" seems to argue for a certain amount of healthy danger to allow adolescents the chance to grow up on their own terms.