The irony about this visit appears to be built around the fact that the woman who is sent out to see Nick insists that Wolfsheim is not there, and that he is in Chicago, when it is clear that Wolfsheim is actually there, because Nick can hear him whistling behind a partition. Nick has to repeat his demand to see Wolfsheim many times, and even though he tells this woman that he knows Wolfsheim is there, she continues to deny it. Look what she says after he becomes insistent:
"You young men think you can force your way in here any time," she scolded. "We're getting sickantired of it. When I say he's in Chicago, he's in Chicago."
However, ironically, after having said this, Nick mentions the name of Gatsby and then suddenly, in spite of her protestations just a few seconds ago, she goes and gets Wolfsheim out, showing that he is not actually in Chicago. One irony thus lies in the gap between the reality of Wolfsheim's presence in the office and the insistence of the woman that he is not there.