A theme is the world your event takes place in. A slogan is the sentence that sums up that world.
A theme can be: 'caravan through the desert', '1920s club' or 'Norse mythology'. A slogan that goes with it is the short translation into a moment: 'Where you're going doesn't have to exist yet', 'The night begins on the dance floor', 'Everything we are starts here'.
You don't always need both. A good concept always has a slogan, but not always an explicit theme. Sometimes the sentence is strong enough to build a whole experience around.