The most grotesque and fantastic conceits haunted him in his bed at night.
“Grotesque” and “fantastic” are both words used to describe the Valley of Ashes. Their repetition here signifies Gatsby’s current place of humble beginnings. The fact that they “haunt” him illustrate his hyper-awareness of his social position and desperation to escape.
However, his conceits, or dreams of self-improvement, are constantly on his mind, even so much as to make him lose sleep. He continues to get lost in his imagination with obsessive dreams of grandeur.
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