Yep, that's it. It's a memoir, which is a piece of a life-story, told by the person who lived it. That's why it doesn't fit into any of the fiction genres you might be used to seeing here.
So how do we know it's a memoir? Well, it's about a real, live person (Baroness Blixen), who happens to be the real, live author (Isak Dinesen, aka Karen Blixen), telling it from her own, real, live perspective. Easy-peasy!
BTW, a memoir is similar to an autobiography, except that it deals with a certain part of the narrator/protagonist/author's life instead of the whole shebang.