You are probably looking on the Studio Pro top menu bar.
The theme settings are in the project’s settings. On left-side in the “App Explorer”, expand your app. Under it you see settings, security, navigation etc.
Open settings from here. Then go to theme tab in the settings.
For new Mendix 9, please see this link in docs about the theme tab. The theme tab you are looking for was in Mendix 8 versions and not present in 9
The old system is deprecated and it has some instructions on how to switch to the new way of using UI resources package.
The theme tab is missing from the menu options (should be to the right of "Certificates")