I am looking for a good thesis for The Devil in the White City for my history class. I have to write a book review.

Since you are reviewing the book for a history class, you need to decide which historical aspects you want to focus on and then include those aspects in your thesis statement as well as a little bit of your opinion (because this is a review, not a summary).  You could write something like the following:

Eric Larson's Devil in the White City so effectively blends the history of Chicago's turn-of-the-century preparation for the World's Fair with the gruesome acts of serial killer H.H. Holmes that it reads like crime fiction rather than a stodgy historical account.

Good luck--I hope that you like the book. It took me a while to get into it, but when Larson begins discussing Holmes in more detail, it was difficult for me to put down the book.