Irony of Alex
The narrator is in love with Alex, his female best friend, but she doesn't love him back. She does, however, want to have his baby, since she has still not gotten pregnant and is currently single. This creates a cruel irony for the narrator, who has the opportunity to become co-parents with the woman he loves, but he knows she will never love him romantically.
Irony of Alena
Alena is, nominally, the narrator's girlfriend. She is smart, funny, beautiful, and likes his poetry, but she doesn't seem to be emotionally attached to him. This irony is most evident when the narrator tells her that they need to take a break while he sleeps with his best friend in order to impregnate her: Alena is completely unfazed, and not even a little jealous, which is ironic considering she's his girlfriend.
Irony of "The Golden Vanity"
The narrator is the author of a short story called "The Golden Vanity." In the story, the main character is an author (strikingly similar to the narrator) who wrote a short story which performed rather well. He is auctioning the story off to publishing companies, promising to write a novel based on the story. Ironically, the narrator and author of this short story does the same thing with "The Golden Vanity" itself, with no success.
Irony of the Epigraph
The epigraph is a quote attributed to Walter Benjamin, which talks about the Hassidim, who believe in a world to come that will be just like this world but just very subtly different. The irony of this epigraph is that the author takes this idea and fundamentally alters it so that this "world to come" actually exists in the present alongside this reality.
Irony of Marfa, TX
The narrator goes to a writing conference in Marfa, Texas, hoping to overcome his writer's block on his short story-to-novel adaptation. Instead of making progress on that, however, he accidentally ends up writing poetry, which is the opposite of the kind of progress he wants to make, making the conference counterproductive.
