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][1] 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/][2]
   

  [1]: https://scottbolinger.com/custom-post-types-wp-api-v2/
  [2]: https://developer.wordpress.org/reference/functions/register_taxonomy/