At this time you cannot change the theme of a saved game. You can edit the game's settings that appear on the Choose Settings page but you cannot choose a new game or theme for that Saved Game.
To create a Saved Game with a different theme or game you will first have to choose the questions or word list from the Choose Questions page and then choose the game that you want to play those questions in. When on the Game Settings page, you will choose the settings that you want saved and then you can click the Save button to create a Saved Game.
We do have this feature on our Future Improvements List so it is something we hope to add in the not to distant future.