The genre system only uses 2 pieces of artwork, Backgrounds and Wheel images. The genre menu does not use themes like other wheels.
Each system in HS has its own genre artwork. Open any system and find the genre artwork folders.
Inside of the Genre folder you will see 2 more folders:
Every system needs a genre database to define the wheel. For any artwork in these folders to show up they simply have to match the names of the genre entries in your database. By default your installation comes with a MAME genre database that you can use as a reference. This file is named Genre.xml.
Example Genre Screen: