One common theme is the clash and then the eventual harmony of different cultures. The magical culture of Harry Potter and the cultural aspects of Russia in Hetalia often start off at odds but then find a way to coexist. For example, different views on magic usage or social hierarchies.
Often, there's a theme of power dynamics. In Harry Potter, there are power struggles between good and evil, and in Hetalia - Russia, there are political and cultural power structures. When combined in fanfiction, it can lead to complex stories. For instance, how the power of magic in Harry Potter affects the political power in the Hetalia - Russia world or how a powerful Russian Hetalia character uses magic to gain more influence in the wizarding world. It's about how the two different power concepts interact and reshape each other.
A prevalent theme is also exploration. Characters from both universes explore the other's world. So, Harry Potter characters might be exploring the political or cultural landscape of Russia in Hetalia, and vice versa. This allows for a lot of character growth and discovery as they face new challenges and ideas. Another theme could be friendship. As characters from different worlds interact, they form bonds that cross the boundaries of their original universes.