This question isn't necessarily easy to answer because the narrator doesn't expressly tell readers how Jim reacts to Della's new hairstyle. The text does tell us a lot about how Jim doesn't react.
His eyes were fixed upon Della, and there was an expression in them that she could not read, and it terrified her. It was not anger, nor surprise, nor disapproval, nor horror, nor any of the sentiments that she had been prepared for. He simply stared at her fixedly with that peculiar expression on his face.
The narrator lists a lot of things that Jim's expression was not, but there are still plenty of expressions that the "peculiar expression" could be. I like to think that his expression is a nice mixture of humor, acceptance, and irony. Jim doesn't get mad at his wife, and he tells her that he likes her no matter what her hair looks like.
"Don't make any mistake, Dell," he said, "about me. I don't think there's anything in the way of a haircut or a shave or a shampoo that could make me like my girl any less."
Jim does know what he bought Della for Christmas; therefore, he immediately knows that he is holding a gift that can't be immediately used by his wife to beautify her hair. It is the last thing that he expected to see when he got. Jim probably immediately sees the irony in the situation, and he has to check a couple of times to make sure that he is seeing things correctly.
"You say your hair is gone?" he said, with an air almost of idiocy.
Jim's peculiar expression is a perfect way to describe his reaction because it is so vague. It lets readers imagine exactly what his expression is that even his wife can't figure out. We are given enough detail to know that his expression isn't negative, and then the narrator strings us along until we finally understand why his expression was so unique.
They were expensive combs, she knew, and her heart had simply craved and yearned over them without the least hope of possession. And now, they were hers, but the tresses that should have adorned the coveted adornments were gone.
Jim stopped inside the door, as immovable as a setter at the scent of quail. His eyes were fixed upon Della, and there was an expression in them that she could not read, and it terrified her. It was not anger, nor surprise, nor disapproval, nor horror, nor any of the sentiments that she had been prepared for. He simply stared at her fixedly with that peculiar expression on his face.
O. Henry intentionally refrains from specifying the nature of Jim's reaction when he enters the flat and sees Della without her hair. The author says what the expression is not: It is "not anger, nor surprise, nor disapproval, nor horror, nor any of the sentiments that she had been prepared for." It is just "peculiar." O. Henry is saving the big revelation for a bit later when Jim will explain that he has sold his watch to buy Della a set of tortoise-shell combs.
Jim's "peculiar" look is partly attributable to the fact that at first he must think Della has decided to try out a bold new fashion in hair styling. He thinks she thinks she looks pretty! That is exactly the opposite of what she thinks of herself. This necessitates the explanation that she sold her hair to buy him a watch fob for Christmas, and that in turn necessitates his speaking the line that contains O. Henry's surprise ending.
"I sold the watch to get the money to buy your combs."
O. Henry knew that Jim would have to show some kind of reaction when he entered and saw Della without her long hair. But if Jim looked shocked and horrified, it would detract from the surprise ending O. Henry planned, because it would suggest that Jim had some special reason for expecting to see Della still adorned with her beautiful hair. So O. Henry intentionally describes Jim's reaction as "peculiar," which really tells us nothing. O. Henry can justify the use of the word "peculiar" because Jim doesn't understand what is going on. He may think Della has adopted an extreme new hair style. He is really not so shocked by his wife's appearance as he is dismayed at the realization that her new hairstyle has made his gift useless. He is telling the truth when he says he loves her just the same with or without her long hair.
https://www.owleyes.org/text/gift-magi/read/the-gift-of-the-magi
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