I believe that this question is asking for help with writing a solid thesis statement for a student essay that is likely analyzing this story in some way. Keep in mind that a thesis statement makes an argument. It does not state a fact, because then there is nothing to prove.

A fairly safe way to go with thesis statements is to write a statement that makes an argument about a character or theme. One is not better than the other, and often themes help illustrate characters and characters help illustrate themes, so there is a lot of potential overlap with thesis statements that are character or theme focused.

Another angle to pursue would be to examine how the story applies to a real world topic or event. This could be a really neat way to go for "Lamb to the Slaughter." Readers might cheer for Mary and the fact that she got away with killing Patrick, but she is still guilty of something. A fun discussion involves Mary being caught. What is she guilty of? Is she guilty of murder or manslaughter? A good thesis can be crafted around these questions. Take the following thesis statement as an example:

Although some readers defend the idea that Mary murdered Patrick, Mary is actually guilty of manslaughter.

This thesis statement is a two-part statement and requires the following essay to explain to readers what murder is and why that particular charge should not be applied to Mary. The thesis then continues with the idea that Mary isn't innocent. She is guilty, but she is guilty of a different crime.