Which type of theme you are talking about... Is that office Theme ?? or any other. If it is office theme, it will apply not only in excel but also in other office products like word,outlook,access etc...
If you want to put a theme for different sheets, you can select sheet background option, It will apply what ever you choose like photos, colors etc. In this case you can apply different types of themes for different sheets.
I hope you got my point...
Theme..
the word is self-descripting itself..
when you want.. a same similarity within your slide, get-to-gether-party, Window's Color scheme or in worksheets.. we use the word THEME..
avoid using themes in this sccenario