Is there a way to keep Theme always black?
Leave that setting how it is and don’t change your theme.
Or use a black theme.
…if i close my Home Assistant it is coming back to Light… i would like to have it always black
It should be sticking - does here 
…not for me 
owning Is there a config for that
I can only suggest reporting a bug in the frontend repo, there shouldn’t be anything else you need to do.