The characters of Linda, Biff and Nick display loyalty to the flawed figures that stand preposterously grandiloquent in the forefront of their own lives, Willy and Gatsby. Preposterous because the dream to which they cling is an illusion and greatness they feel should flow from this dream serves only to cover their true greatness - being regular people with reasonably honest hearts. Grandiloquent because they presume some achievement upon or through this false dream.
This is one connection open to exploration that connects the two works.
In Linda's case, her loyalty to Willy is not dependent on Willy's qualities alone, but on his essential humanity as she powerfully articulates.
“I don’t say he’s a great man,” Linda argues, “but he’s a human being, and a terrible thing is happening to him. So attention must be paid.”
Linda's loyalty and allegiance to Willy are strong despite Willy's flaws. She has fully considered her husband's weaknesses, but stands by him, attempts to bolster him, and tries to steer him away from the disaster she sees coming.
Similarly, Nick comes to admire Gatsby, despite the flaws of this poseur and bootlegger. An essential humanity and innocence, which Nick sees in Gatsby more than in the others of this rich set, lead Nick to proclaim that Gatsby is the only one with any value.
Nick...tells him he is better than the “whole rotten bunch put together.”
When no one else will take over Gatsby's funeral, Nick does, demonstrating his loyalty to Gatsby though fully aware of the man's weaknesses and moral insufficiencies.