How do I show in a thesis statement that Montresor is the protagonist and Fortunato is the antagonist in the theme of revenge?

We know Montresor is the story's protagonist because he is the principal character, the character whose actions and thoughts the story predominantly follows. It is Montresor narrating the story, and the events that take place are the result of his actions. We know that Fortunato is the antagonist of the story because he is the opposing force who conflicts with Montresor. So, this story's conflict is of the character vs. character variety. The first line of the story, in fact, helps to establish the relationship between the two men and their relative roles in the action, as well as to initiate the theme of revenge. Montresor says,

The thousand injuries of Fortunato I had borne as I best could; but when he ventured upon insult, I vowed revenge.

Montresor's thoughts and actions will largely characterize the story's events, and this line pretty clearly establishes Fortunato as his antagonist. Further, we understand that this is to be a story about revenge. Montresor will attempt to exact his revenge on Fortunato because Fortunato has, evidently, injured and insulted Montresor a great many times, and Montresor's pride will no longer permit him to endure this without retaliation.
A thesis statement on this subject could, perhaps, address the idea that Montresor (who we know to be the protagonist for the reasons I outlined above) seeks to exact his revenge on Fortunato (for the reasons outlined above) for insulting his pride one too many times. Remember that a thesis must make a claim rather than state a fact, so you have to make sure that you phrase your thesis in a claim with which someone else could argue.