'Glup' seems to be a (possibly) Thurber-invented term meaning roughly 'slimy, jelly-like material', similar to guck.
I believe the remark is intended to be humorous (using bathos), contrasting a slimy food, offering a small amount of transitory pleasure to the small number of people who like oysters, with the much more fulfilling possibilities offered by interaction with a woman. Presumably the remark was written to be understood from a traditional sexist male viewpoint. To be contasted with the similar rather misogynistic remark by Groucho Marx (who may have known of Thurber's joke), borrowed from Rudyard Kipling: 'a woman is just a woman, but a good cigar is a smoke'.