Setting relates to theme in The Great Gatsby, certainly, and we can say that setting helps to develop the themes of the novel (the valley of ashes, West Egg vs. East Egg, NY City, Gatsby's mansion vs. Nick's bungalow).
Do the themes actually come from the settings though? I'd say no. The setting helps to develop the themes, but does not dictate or completely generate those themes.
I agree that the setting of a text can influence its theme, but it is not the place from which the theme arises necessarily. The setting is important in terms of theme because the characters interact with the setting in a particular way, leading to the development of theme. For example, the setting is overly important in Ernest Hemingway's The Old Man and the Sea, but the theme is only fully understood when we analyze the relationship that the man has with the sea, the ship, and the fish.
Are you suggesting that the most of the themes in "The Great Gatsby originate with the setting or that all themes in most literature find their origin in the setting? In either case, I think you are oversimplifying. The 1920's setting of "The Great Gatsby" enhances our understanding of the themes of the novel. But most of the themes in the novel are universal themes that have been dealt with by other authors, in other setting over several centuries. For example, the ideas about the separation of social classes has been a theme in books ranging from "Great Expectations to "Native Son" to "Animal Farm" and many others. "The loss of the American Dream has been examined in many other novels and plays, most notably "Death of a Salesman." Another theme, "Appearance vs.Reality, has been explored in "The Scarlet Letter", "Huckleberry Finn" and other twentieth century plays and novels. The 1920's offers us a unique perspective on these themes but they are not solely dependent, nor do the originate from the setting. Most originate from the situation the characters find themselves in.