How can I build my own jquery ui theme and select it?
Use libraries-override in mytheme.info.yml.

These are examples from test_theme.info.yml:

libraries-override:
  # Replace an entire library.
  core/drupal.collapse: test_theme/collapse
  # Remove an entire library.
  core/drupal.progress: false
  # Replace particular library assets.
  classy/base:
    css:
      component:
        css/components/button.css: css/my-button.css
        css/components/collapse-processed.css: css/my-collapse-processed.css
        css/components/container-inline.css: /themes/my_theme/css/my-container-inline.css
        css/components/details.css: /themes/my_theme/css/my-details.css
  # Remove particular library assets.
  classy/dialog:
    css:
      component:
        css/components/dialog.css: false
  # It works for JS as well.
  core/jquery:
    js:
      assets/vendor/jquery/jquery.min.js: js/collapse.js
  # Use Drupal-relative paths.
  core/drupal.dropbutton:
    css:
      component:
        /core/themes/stable/css/core/dropbutton/dropbutton.css: /themes/my_theme/css/dropbutton.css
  # Use stream wrappers.
  core/drupal.vertical-tabs:
    css:
      component:
        /core/themes/stable/css/core/vertical-tabs.css: public://my_css/vertical-tabs.css
  # Use a protocol-relative URI.
  core/jquery.ui:
    css:
      component:
        assets/vendor/jquery.ui/themes/base/core.css: //my-server/my_theme/css/jquery_ui.css
  # Use an absolute URI.
  core/jquery.farbtastic:
    css:
      component:
        assets/vendor/farbtastic/farbtastic.css: http://example.com/my_theme/css/farbtastic.css


Reference: https://www.drupal.org/docs/8/theming-drupal-8/adding-stylesheets-css-and-javascript-js-to-a-drupal-8-theme See subsection Overriding and extending libraries