The theme of "The Show Must Go On" is that we must take advantage of the opportunities that life presents us, even if they seem bad and contrary to our desires. We can see this theme throughout the story of Tessa, who often felt discouraged by the failure to carry out her plans, but as time went by, she realized that she should treat this as an opportunity to learn and move forward, after all the show must go on, no matter what.
An example of this is when she becomes a working partner with Varick, a boy she believes to be uninteresting and very different from her, Tessa believes that her partnership with Varick will delay her goals and is eager to give up everything, because she sees it as an adversity in her life, but as time goes by she discovers that the partnership with Varick will teach her a lot that will magnify her and help her success.