Edna St. Vincent Millay was a voracious lover of both women and men. Perhaps that's why many critics take "First Fig" as her attempt to proclaim upon her literary talent and her love life in one breath. The wonderful thing about metaphor is that you can get words to work overtime, creating multiple meanings in one short phrase. A candle that burns at both ends? That could be a way of thinking about a woman who delights in women and men. That raises a problem, because why would bisexuality mean that the speaker would burn out quicker than other lovers? Could it be the stigma attached to homosexuality in the early twentieth century? Millay herself gives us no answers, which, we're guessing, is part of her intention.
Millay's cryptic reference to her sexuality in "First Fig" makes it clear that having an exciting love is more important than a single love. No settlin' down for this poet.
By discussing her gender metaphorically, Millay's speaker is able to convey some of the complications of her own sexual preferences.