"Vice," same root as "vicious," means anything considered to be evil or immoral, including prostitution, gambling, narcotics. A "vice squad" is a police division concerned with this kind of (often) nonviolent crime. VICEX is a mutual fund that intentionally invests in things like tobacco, gun manufacturers, and gambling resorts.
In the time of Hemingway's novel, as at all times, unmarried couples went to hotel rooms to have sex--but it was considered a far more serious thing than it is today.
Catherine is not making any kind of carefully reasoned observation, she's just talking. She feels that she is engaged in "vice." She also imagines that the hotel has intentionally furnished the room with the idea that people will have sex in it, and that it reflects the style and taste of people who engage in "vice." I think (I haven't read the book) that it's the first time she's been in a room like this. She is surprised to find that she likes the decor, finds it "tasteful." I'm guessing that her acceptance of the room as "tasteful" is related to her acceptance of what they are doing: "I can't believe we do anything wrong."