The passage is in reference to Gatsby's youth, and the first time that he and Daisy had engaged sexually, before Gatsby went off to war. Gatsby had for some time been in search of a "nice" girl, which to him meant little more than a prospective partner that he could use as leverage to parlay his way into the upper class. He no doubt planned to sleep with her just to get a taste of the experience of wealth. However, when he did this, he found himself completely obsessed and devoted to her. This is what is meant by the biblical allusion of following a "grail." He is obsessed with finding something that cannot be found.
He had no notion of how extraordinary that night would turn out to be. When she leaves him at the end of the night and "vanishes into her rich house," Gatsby's entire being becomes preoccupied with becoming the metaphorical "rich house" that she can call home. When she leaves him, she leaves him not only with, but as, absolutely nothing. He states afterwards that he felt married to her, implying that no woman, not even one of similar prestige and wealth, would be able to compare to her in his mind.