Differences Plugins and Apps vs Themes
A theme is a special type of Plugin or App, aimed at easily changing the visual appearance of the storefront. If you want to get more information about plugins and apps you can check out the Plugin Base Guide and App Base Guide.
Technically a theme is also a plugin / app but it will be visible in the theme manger once its activated. To distinguish a theme from a "regular" plugin / app you need to implement the Interface
Shopware\Storefront\Framework\ThemeInterface. A theme can inherit also from other themes, overwrite the default configuration (colors, fonts, media) and add new configuration options.
You do not need to write any PHP code in a theme. If you need PHP code you should choose a plugin instead. Another important distinction to themes is this: Themes are specific for a sales channel and have to be assigned to them to take effect, the other way around plugins and apps have a global effect on the Shopware installation.
Now that you have learned the differences between themes, plugins and apps, you can create your first theme.