I don't think Sandbox games necessarily have themes and aren't really designed for them either. However, there are things that can be done that are similar to what the article defines.
First, a theme could be considered a highest level adventure which covers the starting campaign location in almost every direction. A dragon is playing people as puppets in his demesne. Angels and devils are using local believers to play out a war in the land. In fact, any of the long lists of themes in the article work as high level adventures except the literary themes (which are next). A sandbox isn't really an adventure path, but everything in that part of the world has ties to its world, so big, big schemes and events happening on the massive scale use the smaller in their play. And the smaller elements like an orc tribe here and a human city there get caught up and embroiled in the conflict. That's normal, but each has more to it than the overarching "theme" in a sandbox game. Most importantly, the players can leave the conflict (or it could level them, even resolve on its own) without ending the campaign. They aren't fenced in.
Second, literary themes are almost always first-person, character-focused, emotionally affecting themes. These can't work in a sandbox game because the players are players. They don't have the omnipotence of gods within the multiverse, but rather the abilities of people. Players, however, can play to these ends, but the game design doesn't support it. Regardless, like in any game the players are going to get caught up in attempting to achieve their ends and deal with the fall out of lost friends (PC or NPC), inhuman monsters (including humans and demihumans), their own rage, and temptations of power. The game itself provides opportunities for introspection without the opportunity to erase past events.
Third, and the most important, is using thematic thinking when setting forth the campaign setting. The first session of a campaign doesn't simply have to be character generation. Character backgrounds can be worked out. Who know whom. But also, What do we want to do in this campaign? Who's in this world? What kind of adventures would we like to go on? What is the world like? I'm playing the _____ class, but I want this kind of _____ in it to discover. Here's a (movie, book, folk tale, real world stuff), stat it up and put it in the game. These are important questions the players are going to answer all throughout a campaign (as they change their minds), but starting with this stuff really can satisfy a lot of thematically-focused players too.