4 ideas
She takes 'investment' money from Gus Trenor that turns out to be a disguised gift expecting sexual repayment, is publicly implicated by Bertha Dorset to cover Bertha's own affair, is disinherited by her aunt, and slides from the elite to trimming hats in a millinery shop. She dies of a chloral overdose in a boarding house after using her small legacy to repay Trenor, having refused to use Bertha's love letters to blackmail her way back in.
A person trained solely to be decorative and socially pleasing has no transferable capability once her one market (marriage) closes. Lily's failure as a milliner shows that the refinement which made her valuable in drawing rooms is useless for labor: her only asset depreciates with age and reputation, and there is no second career to fall back on.
In a status economy, gifts and favors from the powerful are never free; they create obligations that are called in later and on the giver's terms. Because the terms are left implicit, the recipient cannot know what she owes until repayment is demanded, and refusing to pay reclassifies her from guest to debtor or offender.
In a closed elite, what matters is how conduct looks, not what actually happened, and the more powerful party's version becomes the truth. Someone who depends on others' hospitality cannot afford even the appearance of impropriety, while the secure can commit the actual offense and shift the stain onto someone weaker.