This is a very broad question (and essay topic), so the first place to start is by narrowing down your ideas. Instead of writing a thesis statement for you, I usually help students get started on forming a thesis for any essay, by posing relevant brainstorming points and open-ended questions. Then, I encourage students to continue brainstorming and questioning until a clear idea presents itself with a line of reasoning that is proven by details in the text(s). In the two novels presented above, the themes of loss and grief are portrayed in both, but in very different ways.
Some ideas for your consideration include the two narrators and their similarities and differences. Both are young females who are raped at young ages, however, this is probably where the similarities stop (as one protagonist tells her story from the afterlife). The fact that each novel is told from the victim's point of view, however, is another point of comparison that is worth noting.
Also, consider that each novel portrays very different kinds of loss for each set of characters. Lovely Bones focuses on how the loss of a loved one affects surviving family members. Undone shows multiple losses in one individual, though death might be the very least of these. While Sebold's characters are all dealing with the same loss, the Undone Dolores experiences loss of innocence, protection, self-worth, a loved one, and ultimately, herself.
Grief, in both novels (as in real life) is a biproduct of loss. Both novels present the five stages of grieving, though again, they are more obvious in The Lovely Bones than She's Come Undone. My suggestion here is to consider whether you really want to focus this essay on both grief and loss, as you likely have enough information in one or the other to write a complete essay.
Given the points above, some questions to consider (that will help lead you to a thesis statement) include:
- How does each novel's character(s) deal with the idea of grief and/or loss similarly and differently?
- How does each narrator present the idea(s) of grief and/or loss? Through what tone?
- What lesson or message is the narrator trying to send about the theme(s) of grief and/or loss?