A holocaust is a disaster or tragedy that involves multiples deaths. In The Great Gatsby, the quote that uses the word holocaust at the end of chapter 8 reads as follows:
It was after we started with Gatsby toward the house that the gardener saw Wilson’s body a little way off in the grass, and the holocaust was complete.
Directly before this, Nick has hurried quickly to Gatsby's mansion, with a premonition that Gatsby is dead, perhaps because the chauffeur mentions having heard shots. Nick and the servants find Gatsby's lifeless body in the swimming pool with a thin trail of blood floating from it. As they are carrying Gatsby's corpse into the house, the gardener then sees Wilson's dead body in the grass. He has apparently shot himself after shooting Gatsby.
When Nick says the holocaust is complete, he means the cycle of deaths that began with Daisy running down Myrtle is now over. Myrtle, Gatsby, and Wilson are dead, but nobody else will be.
We most often connect the word "holocaust" with the genocide that took place during World War II, but in the 1920s, Fitzgerald would have had no inkling of that horror, so the word would not carry the genocidal connotation it does today.
The connotation here is that there has been a cycle of horrible and senseless slaughter. Nick sounds numbed by it. It is worth noting that all the dead characters are from a working class background.