Pastry pigs are pigs in a blanket, or pork rolled in pastry.
Gatbsy throws lavish parties where guests do whatever they want. They act more like they are at an amusement park than a private residence. Every week “corps of caterers” descend on the Gatsby mansion with colored lights and other decorations and lots and lots of delectable goodies. There are two suppers, one served at midnight and one earlier.
The tables are described as laden with “glistening hors d’oeuvre,” or appetizers. Your pastry pigs fall into this category. They continue the description of decadence.
On buffet tables, garnished with glistening hors d’œuvre, spiced baked hams crowded against salads of harlequin designs and pastry pigs and turkeys bewitched to a dark gold.
Basically you take pastry and wrap sausage in it and bake it. This makes a delectable and fattening appetizer to keep your guests going. Gatsby wanted to make sure there was enough food to go around. The pastry is gold and yellow, and so are the turkeys. This creates a sensory description of the lavish party for the reader.