What is the milieu of this story?

Milieu is a term in literature that can encompass a wide variety of aspects of a story. Typically, milieu is the overall atmosphere or "feel" of a story. This can include: the environment and culture of the story, the historical or geographical context, and the mood and tone of the writing.
In terms of social and historical context for "I'm a Fool," the narrator is a poor, uneducated young man. The narrator often tells the reader about the good life he leads and how happy he is with it, but he appears to be deeply dissatisfied with his life even if he will not admit it. The narrator believes that college-educated people and those "people all dressed up" "don't know nothing at all" (Anderson). However, when he gets a job as a swipe at a racetrack, his mother cries and his sister "storm[s] and scold[s] about the house all during the week before I left" because the narrator working at this job is something that they do not approve of.
The narrator insists that he is happy several times throughout the story. However, when he meets a young girl he is interested in, he pretends to be a completely different (and much richer) person. Going along with this lie means that the girl never actually learns his true identity, and at the end of the story, the narrator realizes that because of this lie, she will be unable to contact him ever again.
From the comments that the narrator makes about all of this happening before Prohibition and the language he uses to describe the black man that he works with (and several assertions that this black man will never be able to advance because of his skin color), the historical context is likely sometime shortly before 1920 (the year that Prohibition began).
The tone and mood are bitter and dissatisfied. In the opening paragraph, the narrator says that the incident described in the story was the "most bitterest" jolt that he ever had to face. From the first paragraph, the mood is immediately established, and the narrator's uneducated social position is indicated by his use of "most bitterest." Much of the milieu that the rest of the story will expand on is already indicated in the first few sentences.
https://americanliterature.com/author/sherwood-anderson/short-story/im-a-fool