This short story by Fitzgerald is a parody of the social moeurs of the rising social class in the New England states more than anything else. The author intentionally makes his characters rather ridiculous when such banal decisions as what to wear to a party and how to wear one's hair take on giagantic proportions.
Remember that Fitzgerald, issue of the upper class, was disgruntled with the superficiality of values of the nouveau riche and even seemed to be obsessional about what he considered to be the loss of the American Dream. His unhappy marriage didn't help matters either, as he spent a lot of time, money and energy to help his wife who was neurotic.
This short story is quite light-hearted in tone and is meant to be taken as a spoof or joke. Along the same themes, Fitzgerald gets much more serious in his novel The Beautiful and the Damned in which the main characters follow the course of self-destruction much as in Flaubert's Madame Bovary.