Can i do something like that with Delta  theme, maybe modify the Core i can't figure it out. Anyone know how to do so ?

Osclass supports it but most of themes does not.

if i want to add it to my custom themes how i can implement it ?

Osclass supports it but most of themes does not.

there is a way to create my own ?

Old old "modern" theme had it.
You can get inspired from there

Would be great to have a new theme with multi category and multi location search, I think. 

@tomi327
Multi-location is not possible with current osclass setup.

the question is not about have the front end capabilities to choose more than one, with a checkbox we can do it, the question is what is the main function that give us results if we send multiple categories ID
The exemple above show an exemple of request send by delta theme :

recherche/sOrder,dt_pub_date/iOrderType,desc/categorie,3/sCondition,2

but with the modern theme we see something else :

recherche/sOrder,dt_pub_date/iOrderType,desc/categorie,3,4,5,6/sCondition,2


did Osclass delete the function that hundle multiple parameter passed on the request ?

This functionality is still there.

i dont think so, because when i snd request  like this recherche/sOrder,dt_pub_date/iOrderType,desc/categorie,3,4,5,6 it doesn't send me back the correct category it's take only the first one

Most themes expect there is only 1 category in search, therefore will show data about first category only.