I'm using Tumbleweed, and I've seen this happen across multiple installs.

1. create an optional theme in /boot/grub2/themes (not installed via the
package manager)
2. set the theme via YaST2 > Boot loader
3. reboot
4. theme shows up
5. have a system update for grub (not sure if just the update grub command will
clobber it or if it's a package upgrade)
6. reboot
7. theme is back to the default theme and custom theme has been removed from
/boot/grub2/themes