Is there any specific reason why you would want to transform your IEnumerable<string> into a DataTable?
Anyway you can probably do something like this (untested):
var queryResult = from data in db.Sources
where data.IdTheme==idtheme
select data.Url;
var dt = new DataTable();
dt.Columns.Add("Url");
foreach (var url in queryResult)
{
var newRow = dt.NewRow();
newRow["Url"] = url;
dt.Rows.Add(newRow);
}