The man and the woman are speaking about abortion.
This is the primary theme, but there are others: tension, isolation, and disconnection.
As the couple wait for the train, the woman gazes at the snow topped mountain.
"They look like white elephants," she said.
"I've never seen one," the man drank his beer.
"No you wouldn't have."
All of the themes of the story are hinted at here. The woman may be thinking of the mountains and her own body, which will soon be as swollen as the hills. The fact that they are cold and snow-capped may bespeak the isolation and "coldness" of her partner who does not want the pregnancy.
Additionally, there is symbolism present in calling anything a "white elephant." A white elephant is something that is not wanted:
"It's really an awfully simple operation, Jig," the man said, "It's not really an operation at all."
The fact that the couple refuse to directly say to one another the words "pregnancy" or "abortion," is akin to the adage, "the elephant in the room," which means something everyone knows but refuses to acknowledge. Even at the end, when there has been no resolution, the woman continues to ignore the (literally) growing problem. The story closes on these lines:
"Do you feel better?" he asked.
"I feel fine," she said. "There's nothing wrong with me. I feel fine."