"In Other Rooms, Other Wonders" is the name of the eponymous story in the collection of short stories. It is likely that the title refers to the myriad of extraordinary things and people in life. In each room—such as it were—there are a variety of wonders that one only has to peer in to see.
In the short story with the same name, K. K. Harouni is dead, and many women come to mourn him. They're from all different times in his life. They each walk out of the room where he lay, spilling into other rooms, and the sounds of strong emotion can be heard in the distance. All the wonders in each woman's life are impossible for one person to know. Each life, each room, holds its own secrets, joys, and fears.
Since the social divide between people is such a strong theme of the book, it's also possible that the room referred to by the title are the divisions that society creates for itself. People may not see the small wonders and joys of those they consider beneath them. Others may not be able to see their own happiness and triumphs when they're always focused on what they do not have.