According to wiki a theory (im instered in FOL) is
is a set of sentences in a formal language. Usually a deductive system is understood from context
It's clearly specificied that we are considering only sentences ( = closed formulas) but we can't build a theory using open formulas. But why ???
We can, but open axioms must be read as universally quantified.
See the well-known example of Tarski's axioms for (elementary) geometry, formulathed in first-order logic with identity, and requiring no set theory (1959):
See examples:
and so on.