Time for some blues: the title "That Evening Sun" comes from the words to "St. Louis Blues." This blues song opens with the line "I hate to see that evening sun go down" and tells the story of a woman who wants her man to return. This is of course ironic, because Nancy doesn't want her man to return.
The idea of the sun going away is also referenced directly in the story:
Nancy whispered something. It was oh or no, I don't know which. Like nobody had made it, like it came from nowhere and went nowhere, until it was like Nancy was not there at all; that I had looked so hard at her eyes on the stairs that they had got printed on my eyeballs, like the sun does when you have closed your eyes and there is no sun. (2.5)
Here Quentin is suggesting that Nancy is so powerless that she seems to show up not as a real person but merely as the after-image of a person. She is denied entry into reality and controlled by the white people in Jefferson due to her black skin.
The sun going down seems to be a reference to her fate: being abandoned by the white family. Yikes. We'd never think that a blues song would sound comparatively cheery.