How can I discuss the following statement in regards to the main characters of The Great Gatsby:"Most characters in the Great Gatsby are involved...

To treat this statement about The Great
Gatsby, simply take one character at a time and see if he/she suffers from
illusions or practices deception.  I'm not sure I would worry too much, especially while
your gathering evidence, about the "perception of what constitutes reality" part.  That
should come clear later, after you've gathered evidence, but even if it doesn't,
figuring the illusions of and deception by the characters is most of what you're looking
for.

For instance, Gatsby suffers from the illusion that
Daisy loves him as much as and in the same way that he loves her.  She doesn't.  This is
a beautiful illusion, but it is still an illusion.  Gatsby dedicates five hears of his
life trying to recapture a past, that in reality, never existed in the first place.  He
suffers from illusion and self-deception.  He tells Nick that, of course, one can
capture the past.  But, of course, one cannot, especially when that past never even
existed.  Gatsby's relationship with Daisy from the past is Gatsby's reality.  But it's
a faulty reality.

Nick is another example:  he deceives the
reader, beginning his story with an anecdote (his father teaching him) that demonstrates
the fact that he doesn't judge people.  But he does judge people.  This is deception. 
Reality to Nick is his honest character, and his objective nature.  But these, too, are
illusions. 

Tom and Daisy also have illusions and practice
deceptions.  I'll leave those two to you.