The irony of Aho's conversion
When Aho converts to the white man's religion, she realizes that it's not a white man religion. She accepts Christianity and converts late in her life, but that is so ironic, given that the plight of her people was that they would not become like white people but instead wanted to retain their culture. Now she finds that Christianity isn't even incompatible with her culture, and Momaday notices that she still was Kiowan, even when she was praying to Jesus. The destruction of culture and beliefs was all for nothing it seems.
The despotic invaders
The white armies made everything look alright for the people back home, but secretly, white cultures were often very racist against foreign invaders, so unfortunately the invaders were not light-handed. They were often unnecessarily cruel. For instance, they stopped the natives from worshiping the sun, which is blatant religious oppression. It's actual racism behind most of these events, even though the white culture preaches about Jesus and love.
The similarity of world religions
When the Christians came to Native territories, they assumed that the native religions were dangerous and barbaric, but actually, they share many features. They both consider light divine, and the Kiowas even have their own Exodus-type narrative, the titular myth of this story in fact. Turns out, humans have a lot in common regardless of race or history, so many religions share fascinating similarities like this.
The death of good culture
Sadly, the book is about the death of the Kiowa culture and way of life. But as the novel itself indicates, that doesn't mean that the culture's memory needs to die. By writing about his journey to Rainy Mountain, Momaday shows how tragic it is that people die and that cultures die. It seems wrong that beautiful, healthy communities should end the way the Kiowa way of life ended.
Journeys and suffering
Here's a quirky irony: when death occurred, in order to deal with the finality of the death, and in order to reclaim whatever culture there was to save, Momaday does the very same journey of his ancestors, and he finds himself astonished by the beauty of nature. Therefore the idea is that sufferers should journey into nature. It's ironic in a couple ways, but it's mostly ironic that it isn't more obvious to "civilized" people that nature is important.