Gatsby is the clearest example of self-invention in The Great Gatsby, but Nick certainly does his part in playing a role.
We see this in several places. Nick, as the narrator, comments on the people at Gatsby's parties, setting himself apart and above them. He mocks and derides these rich and pretty people in a way that suggests he is exaggerating his own integrity, intelligence and lack of pretense.
The falseness of Nick's own ambition is admitted early on:
"I bought a dozen volumes on banking and credit and investment securities, and they stood on my shelf in red and gold like new money from the mint, promising to unfold the shining secrets that only Midas and Morgan and Maecenas knew. ...I was going to become that most limited of all specialists, the "well-rounded man."
This passage shows Nick reflecting on his own intentions to create himself - not to improve himself, but to pose in a new and false posture.