A Series of Unfortunate Events is an allegory for the Jewish diaspora.

The Baudelaires are Jewish orphans who wander from place to place after their home is destroyed in a fire (implied to be arson). They're persecuted everywhere they go, followed by a man trying to steal their fabled fortune, while nobody in a position to stop it believes them.

They meet other orphans along the way, people like them whose homes have been destroyed in suspicious fires and who've been wandering since. They're part of a group that's held together by their love of books and commitment to justice.

There's generational schisms, a Yiddish-speaking baby, bitter herbs (unsweetened tea, horseradish), and a prequel book (part of a series) called Why Is This Night Different From All Other Nights?