I can't immediately think of a reason why it wouldn't work.
tgui::Theme::create doesn't actually do anything, so even if the file doesn't exist it won't fail until the first load call. Did you try creating it with an absolute path?
Did you try to catch a tgui::Exception? Did you also try with a "catch (...)" block?
What compiler are you using? Did you download the precompiled libraries for SFML and TGUI for that compiler or did you build them yourself?
Even the FullExample.cpp won't compile.
Won't compile? If it really doesn't compile then you should show the compile errors.