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There are at least three themes aparent in The Open Window, although you might be looking for something particular. The theme appearances and reality might also be considered a theme of deception; whereas the novel also looks at the theme of insanity vs sanity.
If this isn't detailed enough, you might also want to check out a link to one of my prior answers to this question here on gradesaver. The direct link is provided below;
Deception for the sake of practical joke.