The "dystopia" that is referred to in this question refers to the kind of destruction of belief in moral values and ideologies that occurred after the horrors of World War I, when so many of the young people who fought in that terrible conflict found that the horrors that they had witnessed and also participated in challenged notions of what was "right" and "wrong" and also forced this so-called "lost generation" to lose faith in any religious creed or philosophical way of interpreting life. As a result, the characters in this novel wander around Europe engaging in various acts of debauchery and drunkenness without any rooted nature in life or any responsibility. Whenever they begin to question their lives, they simply move to a new location and start all over again. This emptiness and the void in these characters' lives is captured in Chapter Two when Cohn tries to encourage Jake to leave Paris and go to South America. Jake responds to his attempts with the following words:
You can’t get away from yourself by moving from one place to another.
Jake explicitly recognises that Cohn is not dissatisfied with Paris but with his lifestyle and the drunken, decadent lifestyle that characterises his life. The relationship between this novel and this kind of malaise of values that followed World War I is therefore in the characters and the kind of values--or lack of values--that they exhibit. "Dystopia" perhaps isn't the correct word, as "nihilism" might be more accurate to capture the actions of these characters as they do what they want to do without worrying about consequences.