There are several ways to approach this question and, in the end, the answer lays perhaps as much in opinion as in quantity.
Wolfe's single short story in Mauve Gloves is "The Commercial" which applies the principles of New Journalism to an imaginary interview with a up-and-coming black baseball star who has his first run-in with New York advertisers who expect him to fulfill a stereotype, though they cap it off with self-deprecating renunciation of the stereotype enunciated. It may be considered innovative to apply the tenets of New Journalism to a short story except that New Journalism borrowed from Realism in literature, like Zola's, to create a deeply feeling journalism style.
A literary technique Wolfe employs in "The Commercial" is the double point of view in which different parts of the story are told by different participants, with a third point of view offered by an objective narrator at the end.
It was of those commercials that people repeat lines from. He became known as a personality ... with the scales lifted from his eyes. He began to Speak Out ... and, ... to be Black Enough ....
In addition to this, Wolfe borrows a technique from French novelist Robbe-Grillet whereby the same period of time is represented through varying points of view. In "The Commercial," this is evident in that both Willie Hammer and Foley tell the story of Willie's first introduction to and night out with Foley and Norm. The altering points-of-view give altering perspectives on the personalities and credibility of Willie, Foley and Norm, and on the events they are associated with: dinner out, making the commercial, and the incident on the stairs.
It seems from this analysis that Wolfe is not as innovative in short stories as in reporting. The techniques he uses in "The Commercial" were not new to him, they have been used before by others, and applying New Journalism to fiction is rather a "back formation" of reapplying literary techniques back to their original source. In addition, Wolfe has not written as many short stories as he has essays and novels. So, based on these points, I would say that Wolfe's short stories are not innovative in the way his journalism is innovative.