Bit of a shocker – no inheritance of themes through a site hierarchy in WSS3. There is of Master Pages, but not of themes.
Given that you can do all of what you do with Master Pages it does make me wonder – what are Themes for?
Updated: Heather Solomon has looked at it, and her suggestion is to just put your styles in the Master page.
Updated again: Or just use the Alternate CSS URL for your site.