What is Headless Shopify?

Picksy is a headless commerce application based on Shopify. 

You won't be able to install this theme in Shopify as it will be a separate entity.

To know more about headless commerce please check this article

https://www.shopify.com/enterprise/headless-commerce

https://www.gatsbyjs.com/solutions/shopify/

TLDR; it's not possible.