At the end of Chapter 4, Jordan explains a lot about Daisy's past to Nick. She remembers seeing Daisy with a young soldier who happened to be Jay Gatsby. Jordan says that Gatsby looked at her (Daisy) with great admiration and the two seemed to be in a deeply romantic relationship. A year later, there is a rumor that Daisy's family had prevented her from going to New York to say goodbye to Gatsby. This upset her so much that she didn't speak to her family for weeks.
The following autumn, Daisy becomes engaged to Tom Buchanan. Jordan recalls the moment just before Daisy is to be married. She finds Daisy drunk and distraught. Daisy tells Jordan to give the string of pearls back to Tom and to tell everyone that the wedding is off. Then Daisy cries while clutching a letter in her hand. This is a letter from Gatsby.
She began to cry—she cried and cried. I rushed out and found her mother’s maid and we locked the door and got her into a cold bath. She wouldn’t let go of the letter.
Daisy is clearly having second thoughts about marrying Tom. Clutching the letter, she still has deep feelings for Gatsby. She probably feels pressure to get married to someone with money. Daisy is obviously still in love with Gatsby and is scared about marrying someone else for the wrong reasons. Her state of mind is one of distress, sadness, and panic.