In a nutshell, "La Belle Dame Sans Merci" is about being abandoned by the one you love. The knight gets abandoned and left on a "cold hill's side," even though he appears to be at death's door. The beautiful fairy lady, we know from the title, is "sans merci," or merciless. She abandons him without pity, and the knight's solitude becomes the framing image of the poem.
The lady's abandonment of the knight is emphasized as an important theme in "La Belle Dame Sans Merci" through the repetition of the word "alone" in the first and final stanzas.