Yeah, the PSN store doesn’t make that super easy. We’ve found this link to be the most useful way to track down the theme, both as a standalone purchase and bundled with the game:
I bought the theme but it’s not in my library!
Some users who purchased the Firewatch Dynamic Theme on the PSN Store have been unable to find it in their library. One workaround we have found is to do a hard reboot of your PlayStation 4 system (make sure it actually turns all the way off rather than just going into sleep/hiberation mode), then turn it back on and look for the theme in Settings>Theme, rather than the library.
If this doesn’t work for you, unfortunately you’ll have to contact Sony support. We have no control over the PSN Store; we just upload the theme to Sony and they sell and administrate it.