"The Fly" is set in London in the years following World War I. At one point, the boss mentions that it has been six years since his son died in battle, meaning that the story takes place at some point between 1920 and 1924, since World War I began in 1914 and ended in 1918. (The story itself was composed in 1922, perhaps suggesting that it takes place in that year.)
Generally speaking, Londoners living through World War I maintained high spirits and largely supported the country's efforts against Germany and its allies. Part of supporting these efforts, however, meant obeying food rations, especially when—in 1917—Germany started using submarine warfare to attack merchant ships bringing food to England. To show patriotism and solidarity with the British military, then, many civilians living in London made a point of making do with as little as possible, ultimately embracing austere lifestyles for the common good of the country, making it that much harder for Germany to push England into submission.
Of course, by the time "The Fly" takes place in the 1920s, British society is no longer bound by such stringent wartime restrictions. Still, the boss's lavishly furnished office starkly juxtaposes the harsh realities and deprivations that were common during the war. The story even makes a rather humorous point of calling attention to the boss's utter extravagance:
He waved almost exultantly towards the five, transparent, pearly sausages glowing so softly in the tilted copper pan.
The boss's "exultant[]" (that is, powerful and triumphant) attitude stems from the fact that he enjoys such opulence in a period when people are still adjusting to the normality of postwar life. It's quite luxurious that he has "pearly sausages glowing" in his place of work, as if his office is in a fancy hotel or in the comfort of his own home. To that end, the extravagance of the story's immediate environment underscores the boss's power, status, and authority—things that, by the end of the story, don't seem to matter quite as much, since fancy furniture and a lavish lifestyle can't alleviate his unresolved grief over his son's death.
