The most important theme from "Embroidery" is the danger of nuclear weapons. Like many of Bradbury's stories, "Embroidery" was written during the Cold War, where nuclear devastation was a very real concern (and note: the threat of nuclear devastation is actually a common recurring theme within science fiction of the time period). This story revolves around an unknown experiment, one which, the three women all expect, will lead to their imminent demise. Indeed, as the story ends, readers observe what strongly resembles a nuclear blast wave destroying the three women and their surroundings. They have no ability to influence or stop this experiment. They can only wait for the end to come.
At the same time, there are other themes present within the story as well. Memory and companionship are two that are closely tied together, seen in the image of the women embroidering with one another, even as they reminisce about the past. In the same way, the act of creation is also a key theme in the story, given that embroidery is a creative, artistic act. In this sense, you might say that, in the image of the women embroidering while awaiting the end of the world, the contrasts of creation and destruction are juxtaposed and even intertwined with one another. Indeed, you might even view the image of nuclear incineration as itself an act of creation run amok (remember, this technology is also, ultimately, the product of human invention) so that the act of creation becomes an act of destruction, claiming the lives of both the women and the world in which they reside.