In both the first chapter, and throughout the novel, Alexie illustrates the plight of Native American life of the Reservation (or "the rez".)

A possible thesis statment might be: 

In "Tonto and the Lone Ranger Fist-fight in Heaven," Sherman Alexie unflichingly demonstrates the absurdity of the life Native Americans are forced to live due to the unfair and unequal ideas of "justice" in America.

You could then explore the ways in which Alexie exposes the unfairness of life on the rez, such as the lands they had to give up, the virtual imprisionment of life on the rez, how Native Americans were forced to give up their religion and virtually everything else that made their culture vibrant.