This is a question that would really need to come from your own reading of 1984, and how you personally interpret and approach the sequence of scenes in question. There are many ways you can approach it, both from a purely literary perspective, as well as from a more theoretical one. Nevertheless, it seems to me, within the larger structure of the book, the torture scenes and the conversation between O'Brien and Smith which runs across it, represents the core of the novel, both structurally and thematically. This is what the entire book has been leading to, and this is where Orwell's thoughts and observations on suppression and the nature of the totalitarian state are most fully expressed.
With this in mind, there are some questions that you could ask as you read these scenes. How do you react to it? Does it disturb you, does it haunt you? Does it sicken you? If so, I think Orwell's book would have succeeded in its intentions (it's certainly meant to be brutal in effect). If it did not, if you were unaffected by what you read, then the question might be... why did it fail? That's one way you can take this question: from a purely literary angle, does Orwell succeed or fail at creating the impression he was trying to instill, and then, as you look through the book, try to discern the reason for its success or failure. This second part is important: because a thesis statement needs to contain an argument. It's the foundation for your essay, a microcosm that describes precisely what your argument is, and how you will proceed to argue it.
A second approach would be to look at the ideology and themes which occur in this sequence of scenes. For one thing, there's the conversation between O'Brien and Smith, where we see the full nihilistic underpinnings of the Party itself, its goals, its interests, its ideology (or lack thereof). And here, you can consider how O'Brien's reasoning relates back to the dystopia of 1984, and all the scenes of censorship and suppression and oppression which have preceded it, as well as how it relates towards the book's ultimate resolution, with Smith completely broken, and a living symbol of the party's power. There are other themes worth discussing (betrayal is another example), but in thinking about these kind of things, you need to consider how this all ties together on a conceptual level. What is Orwell trying to tell us?
These are just a few examples of things you can think about. There's a lot going on in the final third of the book. Nevertheless, in general, I would suggest you think in terms of theme and structure. Try to discern how this sequence fits in with the larger context of 1984 and which scenes stand out as particularly important within it. Additionally, think in terms of what you personally drew out of it when you read it. Ultimately, if you're writing an analytic essay, the starting point is not actually to write a thesis and then write your essay around it. Rather the perspective itself comes first: how do you read the material and relate to it? Once you've discerned what you personally would deem important and worth discussing (as well as the reason why you approach the text in that way), your thesis should emerge from there.