This great story, which is very unique in the way it is conceived and written, is all about the hidden neuroses of the female protagonist writing the letters that are never sent. In a way, they are the psychological product of her imagination and allow us to see the true issues that are going on in this woman's life, even as she is unable to clearly see what is going on in her existence. The letters variously point to these double meanings, which the protagonist is at least partly aware of. Note how she begins her letter of confession to her husband, only to contradict herself a few sentences later:
I want to tell you everything... I seem to want to tell you something else.
Such a in-depth psychological approach is something that is exemplified through the style of this short story, which is only a loose collection of letters rather than any normal plot that we would recognise.
For me, one of the best short stories you could use to compare to this short story would be "How I Contemplated the World from the Detroit House of Corrections, and Began My Life Over Again." This bears a number of similarities to "Unmailed, Unwritten Letters," not least in its unorthodox and non-linear structure. It also gives us a psychological presentation of its female protagonist that is made more acute through the narrative structure of notes being written under various headings. In both of these excellent short stories, there is no chronological plot and we are left to try and piece the fragments of both stories together. One theme of both is the psychology of immature dependence.