Realism, Romance
"The Lady with the Dog" is the realistic story of two people having an affair. Rather than rely on symbols or allegory, this narrative is presented in a straightforward, careful manner that reflects life as it actually is. Even the story's structure and conclusion (see "Classic Plot Analysis" and "What's Up With the Ending?") incorporate this sense of realism. As the narrative's main topic is a love affair, it's no mystery that we're working with a romance here. You've even got one or two mushy quotes about love thrown in there.