The theme name you are accessing is displayed in the box next to Theme at the top of the panel. The reason it says "My Theme" in my screen shot, is because I had created my own custom theme to test things and named it, 'My Theme". I have several other themes, like Etrea, which is for a RPG world my wife created for her D&D campaign. She wanted her map to have a certain look, so I created it and called it Etrea. I can access that theme by simply clicking the drop-down box (next to Theme at the top of the panel). And then I can save the new contour regions to that particular theme. This way I can append any existing theme with my own custom contours (and other stuff, too).
This is the standard way OWM works to create and add custom content to just about anything in the program. Select what you want to customize, make sure you have the theme you want to add it to, and then go to town.
Basically, "My Theme" is a play area I created to test my ideas before adding them or creating them for my own custom themes.