The whole point of writing a thesis statement is to decide what specifically you are going to comment on about the aspects you have highlighted, therefore it is hard for me to give you specific advice as my understanding of this story may well be different to yours. You need to re-read the story and think of what the theme, characterisation and setting adds to the story as a whole, and base a thesis statement on this. However, quite clearly this great story is based around one grandmother's act of love and the struggles that she goes through in sacrificing herself to show that love. Therefore, you might want to focus your essay on this aspect of the story. A suitable thesis statement might be:
In "A Worn Path," the symbolic journey of love that Phoenix makes is emphasised through the theme, characterisation and setting of the story.
If you choose to go for this option, you will need to make sure that you have enough to say on each of those three points with quotes to support this thesis statement. Then you have a simple five paragraph essay to write. Good luck!