Features/Themes and Drush Make Files: How to manage updates?
You should build an installation profile to go with your make file.  Then, you could store your theme inside the installation profile.  There's a Drush command to make an installation profile; see this issue on drupal.org.  If you use this technique, you can just run drush pm-update to update modules, and then re-build your makefile and installation profile using the Drush generate-profile command.

Another option would be to just store your custom theme in a git repository.  You can load a module or theme from a Git repository.  See this answer for details on how to do that.