In some ways similar to the inconsistency and tendency to use other people, Jordan's dishonesty only serves to heighten the impression of her worldview based entirely on what she feels is good for her or what she wants at the moment. She is meant to be seen as amoral and selfish and her lying to Nick and to others helps to strengthen that impression.
In some ways it also connects to the fact that basically everything about her is false, both her words as well as her actions and the act she puts on for the world.
Jordan's lies further the theme of corruption that is seen in many different ways throughout the novel. All of the characters lie about their lives or live lies by their actions. Jordan cheats at golf; Tom has an affair with Mrytle; Daisy leads Gatsby to think there is a future for them; Gatsby lies to himself in thinking that he can repeat the past (with Daisy). It seems that if there was a list of all of the actions in the book each and every one could tie back to the ideas of deception or corruption in some way. Nick's narration reveals his utter disgust with everyone's behavior. He is so sickened by it all that he returns to his midwest roots and hopes to reconnect to a place with a stronger moral fiber than what he has witnessed in the East. Fitzgerald has no morally redeemable characters from the East, so Jordan is just one in the long list, and it hurts Nick because he was fond of her.