Of course , there's "S.F. SORROW"by The Pretty Things.
Some of Alice Cooper's later albums , such as "Welcome To My Nightmare" and "Goes To Hell" could be called story albums.
Jethro Tull's "A Passion Play" WAS CONCIEVED AS A PLAY , EVEN WITH A SHORT CHILDREN'S STORY IN THE MIDDLE. "Too Old To Rock 'n'Roll , Too Young To Die" , which I don't even own , was also constructed as a play , or a short story , about an early British Rocker , once a hero , now , unable to cope with the changes in the 70s (Even with The Rock 'n'Roll Revival , it seems...). Great comic book foldout.
Maybe , if you push it , David Bowie's "The Man Who Sold The World" could be called thematic , particularly "Width of a Circle" (Protagonist becomes a monster , meets God in the form of a young man , and gets it on with Satan.) or "The Supermen" (re. The Holocaust in the horrific , yet wildly delusional P. O.V. of the perpetrators.). In any case , it's a great fucking album.