To treat this statement about The Great Gatsby, simply take one character at a time and see if he/she suffers from illusions or practices deception. I'm not sure I would worry too much, especially while your gathering evidence, about the "perceptions" part. That should come clear later, after you've gathered evidence, but even if it doesn't, figuring the illusions of and deception by the characters is most of what you're looking for.
For instance, Gatsby suffers from the illusion that Daisy loves him as much as and in the same way that he loves her. She doesn't. This is a beautiful illusion, but it is still an illusion. Gatsby dedicates five hears of his life trying to recapture a past, that in reality, never existed in the first place. He suffers from illusion and self-deception. He tells Nick that, of course, one can capture the past. But, of course, one cannot, especially when that past never even existed. Gatsby's relationship with Daisy from the past is Gatsby's reality. But it's a faulty reality.
Nick is another example: he deceives the reader, beginning his story with an anecdote (his father teaching him) that demonstrates the fact that he doesn't judge people. But he does judge people. This is deception. Reality to Nick, his perception, is his honest character and his objective nature. But these, too, are illusions. He is certainly not objective.
Tom and Daisy also have illusions and practice deceptions. I'll leave those two to you.