Writing thesis statements is definitely a learned skill. It takes practice, and that is sometimes why beginning writers struggle so much with crafting a thesis statement. They simply haven't had enough practice with them, but that doesn't mean the basics of a thesis statement are difficult. A thesis statement makes an argument that you intend to prove. This means that there isn't a definitively correct thesis statement about any story or character. The thesis statement is your argument about the lawyer's role in the short story "The Bet."
You could probably go two different directions with your thesis statement. You could create a thesis that makes an argument about the role the lawyer plays in the overall plot structure of the story or you could make an argument about the role the lawyer plays in regards to the message being sent to the story's readers. My suggestion is to go with the second option, because it allows you to explore possible morals of the story and/or Chekhov's goal with writing the story.
One direction to explore is how the lawyer casts away the financial winnings he stood to make. Perhaps the lawyer's role is to teach readers that true happiness isn't found in money. It's also possible that the lawyer's role is to teach readers the importance of social interactions. The lawyer didn't have any of that during his time in confinement, and it could be argued that the lack of social interactions destroyed him. Personally, I don't believe the lawyer left his prison a better and happier man than he was when he went in, so I would argue that the lawyer's role is to teach readers about the importance of social interactions and social health. A possible thesis statement could be something like the following statement:
"Although the lawyer's initial goal was to teach about the morality and ethics of capital punishment, he really teaches readers about the importance of social health."