How to theme simplenews unsubscribe page?
I am going to answer this just so that people that are looking for the answer will see it.

As @AgA said:

You can install the Themer Module, you will require the Devel Module.
Enable these modules and go to the path that you would like to theme.

The Themer module will give you suggested naming conventions that you can use to override that page's theme.

In your case it was the content type newsletter, coming to the suggested name of page-newsletter.tpl.php but there will be more suggestions which you can use to override an already overridden more general tpl.