There were definitely skirt-lifters designed and produced (the 1876 British 'Fyfe's Patent' is well-known), most often pulled up by a cord or chain when necessary, then attached at the belt or to a chatelaine, and I suspect used more often on the streets than at dances - but this item wouldn't really be appropriate, too lightweight and too destructive to the weighty skirt fabric or the delicate material of a handkerchief - fine fabric was very dear, way back when. A skirt-lifter or hankie-clip would have little plates or discs that would clamp to the fabric, dispersing the pressure (won't even get into the other devices that would, at the pull of a cord, lift the skirt like a blind), and most of that type clamps that I've seen with finger-rings (as well as a couple with pins) have been fairly small and delicate, more likely for a handkerchief rather than for a long voluminous skirt. And ummm, won't delve into the 'roach clip' aspect, but when tending bar, I did use similar, more utilitarian clamps to hold my bar-towels at the sinks - see those show up as 'Victorian skirt-lifters' fairly often.
1936 U.S. Patent for a similar cigarette holder, with little rough extensions at the tips to light matches:
1928 clip describing a "New Cigarette-Holder":
~Cheryl