TL;DR: It’s a joke, a deliberate absurdity.
It helps to have a bit more context:
Mrs. [Alida] Slade and Mrs. [Grace] Ansley had lived opposite each other—actually as well as figuratively—for years. When the drawing-room curtains in No. 20 East Seventy-third Street were renewed, No. 23, across the way, was always aware of it. And of all the movings, buyings, travels, anniversaries, illnesses—the tame chronicle of an estimable pair. Little of it escaped Mrs. Slade. But she had grown bored with it by the time her husband made his big coup in Wall Street, and when they bought in upper Park Avenue had already begun to think: “I’d rather live opposite a speakeasy for a change; at least one might see it raided.” The idea of seeing Grace raided was so amusing that (before the move) she launched it at a woman’s lunch. It made a hit, and went the rounds—she sometimes wondered if it had crossed the street, and reached Mrs. Ansley.
So the Slades were planning to move house from East Seventy-third Street (a neighbourhood of small rowhouses on the Upper East Side of Manhattan) to Park Avenue, one of the most fashionable and expensive addresses in New York. At the old house the Slades were across the road from the Ansleys; at the new house, they might well be across the street from a ‘speakeasy’ such as the Park Avenue Club. A ‘speakeasy’ was a nightclub illegally selling alcohol during the period of Prohibition (1920–1933); these institutions were subject to police raids.
Mrs. Slade has grown bored with watching the Ansleys in their house opposite, and so she tells herself that she would rather live opposite a speakeasy, however disreputable it might be, because of the potential excitement of watching it get raided. The converse idea, that Mrs. Ansley should get raided instead, is absurd, since the Ansleys are so ‘tame’ and ‘irreproachable’. The absurdity is so amusing that Mrs. Slade decides to make the idea into a joke, and to ‘launch it’ (tell it for the first time) at a lunch she hosts for her friends. The joke is a ‘hit’ (success) and ‘goes the rounds’ (gets repeated by her circle of friends).