Your question asks "what" is the theme of escape, and that is a bit vague. I assume what you mean is how does the theme of escape manifest itself or work in Tennessee Williams's The Glass Menagerie. The idea of escaping is probably the only thing every character in the play has in common.
Father has already escaped; he is the telephone man who fell in love with long distance.
Tom looks at his father's picture and is envious. From his opening statement, the audience knows Tom is just biding his time until he can leave. And not only does he simply want out of his house and his monotonous, unproductive warehouse job, he wants to escape every aspect of his life as he travels abroad with the Merchant Marines.
Amanda wants to escape from her fears about the future. She is afraid she and her daughter will end up living as spinsters who have nothing.
Laura wants to escape from the realities of her life, which is why she hides from almost every real-world experience she encounters. She escapes through her glass menagerie and her music.
Even Jim, the gentleman caller who seems to have everything going for him, wants to escape his warehouse life and become more.
Escaping is something every character who appears in the play--and even one who never makes a physical appearance--wants to one degree or another.