The theme of Lamb's essay is regret and loss: regret for unfulfilled joy, unfulfilled love, lost hope, lost opportunity and lost joys of life. There are three topics describing the theme of regret and loss at work in this essay.
The first of these is the loss of past happiness as represented by the house--with its carved mantle that a "foolish rich person pulled ... down"--and by great-grandmother Field and by the speaker's brother John.
Both great-grandmother Field and John died painful deaths while Charles Lamb watched on being then left alone without their presence, love and care: what he missed most was their presence: "I missed him all day long, and knew not till then how much I had loved him."
The second topic describing regret and loss is his beloved Alice. Lamb courted her "for seven long years" and, in the end, his suit for her love was a failure. This explains why the dream child is named Alice and this explains why he becomes confused about which Alice, younger or elder, he is really looking at:
turning to Alice, the soul of the first Alice looked out at her eyes with such a reality of re-presentment, that I became in doubt which of them stood there before me, or whose that bright hair was ...
This leads to the third thematic topic: the children who never were. In a surprise ending, in a dramatic (and at first bewildering) twist, we learn that the children he has been telling stories to--stories of loves and life-joys he regrets losing--are air, are a figment of a dream in a bachelor's sleep. These are the children that would have been, that could have been, that might have been if Alice had granted Lamb her love and if they had wed. As it is, they are but phantoms of a dream. All he really has is "the faithful Bridget [representative of Lamb's sister Mary] unchanged by my side."