One common theme is friendship. Given that Naruto values friendship highly in his own series and Lucy has strong bonds with her guildmates in Fairy Tail, their relationship in fanfiction often revolves around forming a deep friendship across different universes.
Power - up is a theme you'll often see. Authors like to write about how Naruto and Lucy can make each other stronger. Maybe through training together or by sharing their unique abilities. Also, the theme of cultural exchange between the ninja world and the magical world of Fairy Tail can be interesting. They might introduce each other to different ways of life, food, and values.