The Paying Guests by Sarah Waters (1922)
Of Trust and Heart by Charlotte Anne Hamilton (1923)
Silhouette of a Sparrow by Molly Beth Griffin (1926, YA)
Dead Dead Girls by Nekesa Afia (1926)
The Last Nude by Ellis Avery (1927)
Bonus: These are all realistic fiction, but for historical fantasy, check out The Chosen and the Beautiful by Nghi Vo and Wild and Wicked Things by Francesca May, both of which are heavily Gatsby-inspired.
Double Bonus: For books that begin in 1919 and then span the next decade plus, check out The Paris Bookseller by Kerri Maher and Swearing Off Stars by Danielle Wong