It might be about the alienation in an urban environment. The city is often a busy and impersonal place in many short stories. In 'Lost in the City', the protagonist could be feeling alone and disconnected from others, which is a common theme when dealing with urban settings.
Another possible theme is the search for meaning. Maybe the character is wandering through the city looking for something that will give their life significance. This could be a relationship, a job, or a spiritual awakening. As they are lost in the city, they are also on a journey to find this meaning.
The main theme could be about self - discovery. In the story, the character might be lost in the physical city but also in a more metaphorical sense, like losing their sense of purpose or identity.