Hook not firing for custom entity -- how to set theme suggestions?
The theme system doesn't know about entity types by default. You need to implement hook_theme() yourself at the moment. You likely also need a preprocess function to define a few standard things.

The console project generates this when creating a new entity type through it, you could try that to see how it looks. Otherwise look at what node module does in node_theme() and template_preprocess_node().