Why yes. That is an anecdote.

I'm going to turn the steering wheel here a bit and go back to the very beginning of the novel. I've been thinking about why Hemingway put in that anecdote about Cohn's life, and I think I know why. Cohn is described on page 12 as a member "of one of the richest Jewish families in New York." He had everything that he could have wanted, except for love. He married once, but that ended in divorce. We are then told about Frances and we soon realize that they aren't in love, but Cohn just feels like he needs a woman in his life. After that relationship fails too, the novel really begins. These two failed relationships that the short anecdote tells us about set the stage for Cohn's place in the novel. Hemingway uses this anecdote not because we need to know so much detail about Cohn's life, but because we need to understand the reasons why Cohn is so desperate for Brett's love throughout the novel. Hemingway successfully uses this anecdote to allow us to see the troubles of Cohn and why his personality is such a desperate one. We are able to see into the character of Cohn through this anecdote.