In my opinion, the theme of this story is sexual liberation and freedom. Specifically, I think that Chopin is saying that people should do what they want to sexually -- they should do what feels good rather than sticking to what society tells them it is alright to do.
I think you can see this because of a couple of things.
- Neither Alcee nor Calixta is unhappy with marriage in general or with their own marriage. So it is not a story about hating marriage as an institution.
- Nothing bad happens to either of them as a result of their infidelity. So it is not a story that is meant to teach conventional sexual morality.
Instead, it seems that the point of the story is that this fling during the storm was satisfying for both of them and that that was a good thing.
In Chopin's "The Storm," the fulfillment of passion and desire has a cleansing effect like that of rain on the marriages of the adulterers.
Alcee and Calixta, with a history of sexual encounter, find their passion reawakened when Calixta, scared by the storm, reacts by moving into Alcee's arms. The sexual descriptions would have been controversial enough in Chopin's day, but the approval the story grants to the encounter even more so.
Instead of her usual grouchiness and condemnation when her husband and son enter the house after walking through the aftermath of the storm, Calixta is welcoming and warm, fulfilled by her passion. Alcee, too, is loving to his wife, and tells her to stay away on her vacation for longer than planned if she'd like to.
Alcee's wife, too, finds marriage confining, and her vacation from her husband is welcome for her, too.
The story suggests that not only is adultery not harmful, but it is liberating and cleansing, and even necessary for a succesful marriage. The brief adultery is harmless, and even helpful.