This is very common with themes that use custom post types.
Generally it’s somewhere obvious and the actual theme folder will likely be named the same as the theme.
The Fix: Locate the folder you have of the theme on your desktop and open it (if it is zipped, unzip and open it).
Now when you open it you should see all your files in there, if not the theme is likely in a sub-directory.
The Fix: The “failed” to import error is usually 1 of 2 things.
a) The first is that it could be trying to load posts or taxonomies from custom post types that do not exist yet.