Marla isn't a fragment of Jack's imagination first of all, that's a false theory. Secondly, there isn't a true reason for the glove. It was improvised by Brad Pitt for comedic effect. Truly, it's that simple.
From the Triva section of the movie on IMDB:
When Tyler (Brad Pitt) catches The Narrator (Edward Norton) listening at the door as he has sex with Marla (Helena Bonham Carter), he is wearing a rubber glove. This was Brad Pitt's idea, and caused a great deal of controversy with President of Production at Fox 2000 Pictures, Laura Ziskin. She was horrified when she saw the scene and demanded that it be removed. However at a subsequent test screening, the appearance of the glove got the biggest laugh of the whole movie, prompting Ziskin to change her mind.