If by thesis you are thinking of themes for the story, there are lots of different ideas that you can explore. Hemingway's stories usually present what is known as the Hemingway Code Hero, and this story is an interesting study of that type of character. A Code hero isn't necessarily defined like a typical hero, and in many cases, Hemingway's main characters, his heroes, don't really live up to the standards of the Code Hero. In the ideal world, a Hemingway hero displays grace under pressure, lives a "correct" life -- doing things to the very best of his ability and displaying effort and ethics, is able to "go it alone," and perseverses in the face of seemingly unconquerable odds. With that in mind, does Harry live up these standards? The answer to that question could be a thesis for an essay on this story. I would argue that he does in some instances, and fails in others which is part of what makes him such a complex character.
Here are some other possible topics you could consider. In order to make these a thesis statement, you have to create an argument about the topic. Ask yourself what you are trying to prove about the topic, and that will be your thesis. Remember that a thesis should be arguable, not merely be the basis of a plot summary.
1. how to behave when one is facing death.
2. the impact that the past, and memory, have on the present.
3. the role of women in men's lives.
4. the symbolism of the hyenas.
5. the effect of war experiences on a person.
6. what it means to be a writer.
7. the purpose of the flashbacks and/or the structure of the story.
8. the meaning of the symbolism of the end of the story.