The Great Gatsby is more noted for colors, symbols, and images than allusions, but nonetheless there are some.
One I can recall is the reference to a man named JP Morgan. This is a financial guy whose work has now become the bank we know today as Chase.
Biblical allusions are the most common. The image of Dr. TJ Eckleburg's eyes are regularly alluded to as if they are God's eyes watching over what man has done with the creation that He gave to man. This is consistent with the idea that the narrator finds the East void of God and that has caused great destruction for society.
In chapter 6, Nick narrates about a younger Jay:
The truth was that Jay Gatsby of West Egg, Long Island, sprang from his Platonic conception of himself. He was a son of God - a phrase which, if it means anything, means just that - and he must be about His Father's business.
This allusion to God is a direct reference to when Jesus uses the same phrase in Luke 2:49. This was a young Jesus who spoke these words and it seems at an earlier point, Jay had been connected to God in some way. But in the current time of the book, that is not the case.