There are a number of literary devices in the story, but the most important one is irony. The whole situation is profoundly ironic, leading to the surprise ending. In other words, there is situational irony. In turn, there are other kinds of irony in the story, such as dramatic irony. This means that we as readers know something that one of the characters in the story doesn't know. Even if we don't get the twist until it's revealed at the end, we should still realize that all is not what it seems. The marshal is gruff and unkempt; Easton is smooth, charming, and debonair. As they are both headed to Leavenworth prison, we all know who the prisoner must be just by looking at them, right?
There's also verbal irony. This is where a character says one thing, but means something else. For example:
He's taking me to Leavenworth prison. It's seven years for counterfeiting.
Of course, Miss Fairchild naturally thinks that it's Mr.Easton's disheveled companion who is the fraudster.
In some places, Henry combines both situational and verbal irony, as in the following:
I had to do something. Money has a way of taking wings unto itself, and you know it takes money to keep step with our crowd in Washington.
Miss Fairchild thinks that Easton had to become a marshal to make ends meet, but, in actuality, he's referring to his "career" as a criminal.
Irony is a useful literary device for Henry because it allows him to highlight the story's theme of the difference between appearance and reality:
My butterfly days are over, I fear.
Easton's days as a social butterfly are indeed over. However, it is not because he's short of money (as Miss Fairchild thinks), rather, it is because he's about to go to prison.