You can open your role in the transaction PFCG on the gateway server and navigate to the Menu tab. If you are in edit mode, click on the small icon on the button Transaction - this will open a list of the possible objects that you can map with the role. Here you can map Fiori Tile Catalog, Fiori Tile Group etc. but there is no option for assigning theme. Hence themes cannot be assigned to PFCG roles.
For reference on different ways to assign theme to the launchpad, refer this blog - How to set a theme parameter to SAP Fiori launchpad