I feel stupid asking this but here goes:

[Bradeck]

How do I change the "costumes"? Like not the clothes/outfits, but the themes? Like making her the red head girl from the princess game, I forget the title. Or the Genie girl. Are they specific items?

[Melodia]

You change 'costimes' by equipping stuff that gives those changes, there's no separate option for a theme. I don't think there's one for Aurora (the 'princess game') but rather you play AS Aurora in a separate mode. As for Shantae (the genie girl), that bit hasn't come out yet.