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This quote is from chapter 16, in which Hester is trying to meet with Dimmesdale to warn him about Roger Chillingworth. The entire quote:
But, partly that she dreaded the secret or undisguised interference of old Roger Chillingworth, and partly that her conscious heart imputed suspicion where none could have been felt, and partly that both the minister and she would need the whole wide world to breathe in, while they talked together,—for all these reasons, Hester never thought of meeting him in any narrower privacy than beneath the open sky.
The part to which you refer means that Hester needs to meet with Dimmesdale outside, in the open sky, because it is too risky for her to meet with him in his study. Nobody would have suspected their relationship because he is a minister, and if she visited him in his study, people would have just figured she was in need of counseling. Chillingworth, on the other hand, suspected that Dimmesdale was the father of Hester’s child, Pearl, so Hester did not want to risk anything by visiting Dimmesdale in his study.
I think there is a deeper meaning to that sentence as well. In the tight little world inhabited by Hester and Dimmesdale, that closed up world of Puritan society, the judgmental nature of the people suffocated Hester and Dimmesdale. They could never declare their love. They had committed adultery, had a child, lied about it – all sorts of sinful behavior in Puritan society. They could never be free as long as they lived amidst this environment. So, the only place they would be able to breathe would be the whole wide world, meaning a larger environment, an environment that was free. Someplace other than Massachusetts in 1640. I think the allusion is to another place, the world outside of Puritan New England.
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