Aha! It’s not just the Theme. There are also Template files for individual pages. (e.g. subdomain.nationbuilder.com/admin/sites/1/pages/1/template). Probably because changing themes preserves content, and templates are treated as content, when you switch from one theme to another then your templates may refer to a theme file that no longer exists. You can just delete the offending line from the Template file, or copy the file from the previous Theme if you want that functionality.