This story follows a series of fanciful daydreams envisioned by its main character, the meek Walter Mitty, as he imagines himself as someone of importance and glamour, living a life of excitement. Wellington McMillan is the invention of one of his daydreams, in which Mitty imagines himself as a leading surgeon.

In the daydream, Wellington McMillan is the patient, someone both wealthy and influential, referred to as a "millionaire banker." His friend (the one your question alludes to) is referred to as Roosevelt. This is a political reference, one which is used to signify the scale of the McMillan's imagined influence and political stature. Thurber is referring here to Franklin Delano Roosevelt, president of the United States and a member of one of the most powerful political dynasties in US history.

McMillan's own political and financial importance reflects back on the imagined Walter Mitty, now one of the world's leading doctors. McMillan is lying in the operating room with his life in jeopardy, relying on Mitty to save him (though the daydream is ended before success or failure can be revealed). In this respect, Mitty is once again able to imagine himself as a person of significance, as he uses his daydreams for a partial escape from the mundane reality of his life.