you're not alone WINS yooooo
Game jam themes are usually intentionally vague/subjective so that you can interpret the theme in your own creative way. So, in this case, your game should be inspired by whatever the phrase "You are not alone" means to you.
Purely for example, "you're not alone" could mean that you're constantly accompanied by something/someone, like an ally or someone you need to take some place. Or, perhaps it could mean that you are being there for somebody else, like you're saying to them "it's okay, you're not alone." Or, maybe something is stalking you in the dark, making you feel like "you're not alone". Or whatever else the phrase may mean to you. Personal interpretation is one of the great things about game jam entries, you'll see so many odd or unique interprations, there's really no wrong answer so long as you can explain how it relates to the theme.
When in doubt, try breaking the words of the phrase down and see what ideas come out from them... And worst case scenario, remember that "Theme" is only one of the rating categories, so don't worry too much about if it perfectly fits the theme and just have fun with it, especially since it's your first time.
Good luck on your first jam!