Using this REST API End Point https://example.com/wp-json/wp/v2/taxonomies I found I had 3 Taxonomies available post_tag, category and series.

After seeing series, a custom post type, I knew I had something missing in my code.

I finally found an article Working with Custom Post Types in WP-API v2 which describes my issue. Apparently in API V2 there are some new arguments added in for the REST API. The specific argument I needed was 'show_in_rest' => true, and by adding it into my arguments array resolved my issue.

$args = array(
    'labels'       => $labels,
    ...
    'show_in_rest' => true,
    ...
);
register_taxonomy( 'theme', array( 'post', 'resource', 'podcast' ), $args );

More information about this can be found in the codex https://developer.wordpress.org/reference/functions/register_taxonomy/