There are a couple of salient ideas in Sherwood Anderson's "I'm a Fool." One is the "poignant treatment of an adolescent's inferiority complex and his journey to maturity and self-knowledge" (enotes). Nevertheless, this is a rather commonplace theme, so you may wish to take a different aspect of the story to analyze.
One such aspect is Anderson's use of the first-person narrator. For, by using this point of view, the naivete and emotional intensity of the narrator are evidenced, lending the narrative a sincerity and honesty that is moving and powerful, rather than trite. With this focus on the first person point of view, then, the reader learns much more about the main character as he digresses and mentions his grandfather, etc. In addition, the first person point of view reveals the sensitivity of the narrator in his introspection and establishes what critics call a "collaboration with the reader" in its telling as the reader must infer much from his digressions much as Mark Twain did in The Adventures of Huckleberry Finn.
Why not, then, construct your thesis statement around Sherwood Anderson's narrative techniques as they lend the story its poignancy and freshness.