This book was written over 300 years ago so some of the phrasing and vocabulary are not in common use today. I am not very familiar with this book but I believe this is where Christian goes through Vanity Fair to reach the Celestial City? Town in this case refers to Vanity Fair. If a pilgrim wants to reach the Celestial City but does not go through Vanity Fair must "go out of the world" or die. I like the answer Denis gave better!

Shen, The Celestial City is Heaven. The town where the "lusty fair is kept" represents the temptations and wickedness of this world. "go out of this world" means to not expose oneself to the evils of this world. It is not clear how one can do this....perhaps by living in the desert or in a monastery or convent. It is in quotation marks because it is a quote from the New Testament: ---King James Bible 1 Corinthians 10 " I wrote unto you in an epistle not to company with fornicators: 10 Yet not altogether with the fornicators of this world, or with the covetous, or extortioners, or with idolaters; for then must ye "needs go out of the world." Here Paul mentions that one should not keep company with evil people but he realizes that if one lives in this world one cannot help but associate with evil people. In other words, in order to enter Heaven you must either endure the temptations and wickedness of this world or live detached from its society.