For Holly the cure (to alliviate her fear and anxieties) is to jump into a taxi and head for Tiffany's; nothing bad could happen, she says, amid "that lovely smell of silver and alligator wallets," and her dream is to have breakfast in that soothing setting. Her wish - the title of the story - is also borrowed. Truman had once heard an anecdote and filed it away, waiting for the time he could use it. During World War II a man of middle age entertained a Marine one Saturday night. The man enjoyed himself so much in the Marine's muscular embrace that he felt he should buy him something to show his gratitude; but since it was Sunday when they woke up, and the stores were closed, the best he could offer was breakfast.
"Where would you like to go?" he asked. "Pick the fanciest, most expensive place in town."
The Marine, who was not a native, had heard of only one fancy and expensive place in New York and he said: "Let's have breakfast at Tiffany's."
From Gerald Clarke: Capote: A Biography