The Celestial City represented 'heaven' and as such was where Christan was trying to reach. Vanity Fair is a place that Christain finds himself going through in order to get to Celestial City. It is at Vanity Fair that Christain has many lessons revealed to him about his 'sinful' nature. As part of the overall religious theme of salvation, then, one can see how these elements are integral parts of the story.
