ZI: Majora's Mask is mysterious Zelda title full of many different themes and identities. The land of Termina was so surreal compared to Hyrule that it just lent itself to many interpretations and ideals. Perhaps one of the biggest themes in the recently-remade title is loneliness.
I've already touched upon Link's loneliness in a previous article concerning what he really lost when Navi left him at the end of Ocarina of Time, so I won't focus on the hero for this article. The main point of my previous article was to highlight Link's frustrations at not being remembered as the Hero of Time and how he desperately went to find Navi because she was the only one who remembered the events of the adult timeline while still existing in the child timeline.