Most good stories start with a fundamental list of ingredients: the initial situation, conflict, complication, climax, suspense, denouement, and conclusion. Great writers sometimes shake up the recipe and add some spice.
Initial Situation
John is off to prep school.
This stage is comprised of the background info on John, his family, and the town of Hades, as well as the time John spends at St. Midas' school. You've also got the anticipatory train ride to consider in this stage.
Conflict
Percy's father has a diamond as big as the Ritz, and the diamond must be hidden – at all costs.
The diamond itself isn't a conflict, but there is a seriously conflict-ridden aspect to all this wealth and extravagance. This conflict is evident in every element of the estate and the story of its history, from the slaves who are kept there by deception and exploitation, to the prisoners in the ground, to the fact that old Fitz-Norman murdered his brother to keep his secret safe.
Complication
Oh right – John is one of those people.
John doesn't really get the fact that this conflict applies directly to his own life – not until Kismine as much as spells it out for him. But the reader should have an inclination of this complication much earlier in the text – at least by the time we see the prisoners in the ground.
Climax
An air strike, escape under cover of night, an attempt to bribe God, and a giant explosion
When an enormous bomb goes off, whether in the realm of English class or action movies, you're probably looking at a climax. In this case, Fitzgerald doesn't hold back. This climax has all the fire power of any good Bruce Willis flick. We can start to see what Times critic Donald Adams meant when he wrote that Fitzgerald "out-Hollywoods Hollywood" in this story.
Suspense
Kismine reveals the jewels she stole…
We should have a feeling that something is bound to go wrong here, mostly because Kismine has so far proven herself to be not the smartest person in the world. So we don't rest easy until she pulls the jewels out of the pocket, at which point out suspicions are confirmed. They're rhinestones instead of real jewels.
Denouement
The three survivors make plans to live and work in Hades.
Now that the excitement is over, John, Kismine, and Jasmine look forward to what appears to be a rather bleak future. There is no real "explanation" or "revelation" part to this denouement.
Conclusion
Was it just a dream?
You've got us here – the ending to "The Diamond as Big as the Ritz" is just plain strange. From religious allegory to literary allusions, any number of things could be going on here. See "What's Up with the Ending?" for a full discussion, but don't expect a definitive answer.