Fitzgerald shows us many things about belonging in this short story.
He starts by showing us Clark Darrow. He's got money and a college education, and could be doing something with his life. Instead, he's spent years "dozing round the lazy streets of his home town."
When he thinks Sally Carrol is engaged, he uses a regional appeal against it (don't marry a Yankee).
Sally feels the past deeply, and clearly wants the past of the South to live on in her, as she says.
The ice palace itself symbolizes not belonging—going to an alien place that is cold, and where you don't naturally belong. That's why Sally ends up back in the southern sunshine at the story's end: some people belong some specific places.