One of the themes in "The Cop and the Anthem" has to do with survival. Every living creature has to struggle to obtain a niche in which it can survive on this crowded, spinning planet. With humans the struggle is typically less obvious. But at the lower levels of society the problem is imminent and very serious. Soapy is an example. If he doesn't find shelter for the winter he will freeze to death--and nobody will care. Theodore Dreiser wrote poignantly about this struggle for survival in the same big city involving his character George Hurstwood in the novel Sister Carrie (1900). O. Henry's story is more humorous. Dreiser's is deadly serious. He described the thousands of homeless people who were miserable all the time but especially miserable in the winter time. Hurstwood himself finally can't stand his wretched existence anymore and commits suicide by turning on the gas jet in the little flophouse room he has managed to rent for one night by begging for coins on the cold streets.
Another important theme in "The Cop and the Anthem" is the difficulty, if not the impossibility, of reformation. Soapy not only finds it difficult to get sent to jail, but he finds it impossible to turn his life around after he hears the man playing the anthem in the church and decides to change. Dreiser writes about the same thing involving George Hurstwood in Sister Carrie. Once you are outside conventional society it is impossible to get back in. Your former place has been occupied by someone else. You are a non-person. Many people feel this cold reality when they lose a job and a scanning the ads and desperately sending out their resumes trying to find another. Soapy made the wrong choice some years in the past and has gone so far down the wrong road that there is no turning back. He has a lot of wonderful plans for reformation, but he will never realize them. He will spend three months on Riker's Island, and he will never be his same old confident self once he gets out in the spring.
Nathaniel Hawthorne (1804-1864) dealt with this theme in one of his very best stories, "Wakefield." Hawthorne was fond of spelling out the morals to his own tales, and at the end of "Wakefield" he writes:
Amid the seeming confusion of our mysterious world, individuals are so nicely adjusted to a system, and systems to one another and to a whole, that, by stepping aside for a moment, a man exposes himself to a fearful risk of losing his place forever.