I found the problem. There is no theme setting for gtk3.
I have the following set in ~/.config/gtk-3.0/settings.ini
It then works fine. You could comment out the line for gtk-theme-name if you don't want to use the oxygen-gtk theme.
gtk-key-theme-name = Emacs
gtk-fallback-icon-theme = gnome
gtk-theme-name = oxygen-gtk
P.S. I am running under i3, not any of the desktop environment, that may be the cause of theme is not set properly.