A good thesis statement should provide a 'road map,' or an over view, of the entire essay, containing: 

1) an assertion or opinion about the topic.  In your case, Mason uses detail in her short story "Shiloh" to portray Norma Jean's husband, Leroy Moffitt, with compassion.

2) Multiple sub-points that support your assertion.  These sub-points will eventually become your main body paragraphs of the essay. 

If the author constructs a compassionate characterization for Leroy Moffitt through the use of detail, then how exactly does she accomplish this?  Find three main supporting ideas to back up this opinion.  Your sub-points could be various moments in the plot--exposition, rising action, or climax.  You could also choose your sub-points in terms of various Leroy moments in the story:  his injury, his dream of building a log cabin, or his fragile emotional connection to Norma Jean.