The "lost generation" depicted in Hemingway's The Sun Also Rises bears a great kinship with the characters from Fitzgerald's masterpiece. In each work a set of social values has fallen away, replaced by a vapid materialism.
While this materialism represents a movement away from meangingful interaction, from secular ritual, and from a sense of living within history (and connected to place, the land, etc.), materialism is not typically characteristic of dystopian literature.
Nonetheless, we may argue that the loss of moral values depicted in both works is part of the intention of the author. The characters in these stories are bound up with the social changes taking place in the Western world, as they tend to unravel tradition, unwind long-standing moral codes, and challenge individuals to make sense of it all. A moral confusion and a deep cynicism define the atmosphere of both works.
Here, Jake reflects the sardonic ambivalence of moral sensibility reigning in the novel.
“That was morality; things that made you disgusted afterward. No, that must be immorality.”
Clearly, we do not have to flex our critical muscles much to demonstrate that these are works of some significant moral despair.
Hemingway's short novel has been called:
“a modern-day courtesy book on how to behave in the waste land Europe had become after the Great War.
In Fitzgerald's work, we are presented with at least two character examples of characters whose highest aims are humble, in the end, and yet fail utterly in the face of the moral challenges of the age.
Gatsby and Nick seek a perfect love...both men’s desires are hopelessly bound up in the cynicism fostered by the rapid changes taking place in American society.
The frustrations faced by the characters regarding their love affairs (mainly) and their identity formation as adults in an amoral world (to a slightly lesser extent) can be seen as contextualized by a "dystopian" arrival in a world where the very aims of these characters are anathema to that world.
Love cannot exist without loyalty, as we see in both works. Building an identity of maturity, courage, and honor (traditional values) is not possible in a world where wealth is roughly equivalent to reputation.
There are no fantasy elements (speaking in terms of genre) in these works, however, which again makes the dystopia connection a bit unlikely. (Dystopian literature commonly bears some elements of fantasy/science fiction.) The lack of political commentary in the novels further removes them from general consideration as dystopian literature.
Yet, frustration of basic human aims is certainly part of each of these works. A world where such basic desires (love and maturity) are severely hampered by the status quo seems like a fictional world that might be accurately described as "dystopian".