One of the endings of "The Open Window" would come with the following description:
Framton grabbed wildly at his stick and hat; the hall-door, the gravel-drive, and the front gate were dimly-noted stages in his headlong retreat. A cyclist coming along the road had to run into the hedge to avoid an imminent collision.
The story could have ended there. The reader would probably realize that the three men walking across the lawn in the deepening twilight were not ghosts because there are no such things as ghosts. The reader would then also probably realize that Vera had been making up the whole ghost story for her own amusement.
But Saki decided to make the ending more explicit. He gives Mr. Sappleton some dialogue to show that he and the other two men are very much alive, and he gives Mrs. Sappleton some additional dialogue to show that she is not insane but just a normal housewife expecting the hunters home for tea. These do not constitute the second ending. That comes with Vera's explanation of Framton's bizarre behavior.
"I expect it was the spaniel," said the niece calmly. "He told me he had a horror of dogs. He was once hunted into a cemetery somewhere on the banks of the Ganges by a pack of pariah dogs, and he had to spend the night in a newly dug grave with the creatures snarling and grinning and foaming just above him."
Saki may have felt that this "second ending" was necessary because some members of his wide audience might not understand that Vera's whole story and her act of terror that went with it were an elaborate and ingenious practical joke. Without the final explication, some readers might end up believing that these three men had actually been killed three years earlier by being sucked into a bog, and that they really were ghosts who were finally returning as Mrs. Sappleton had been expecting for all these years.
As a matter of fact, it would make a pretty good horror story--similar to "The Monkey's Paw by W. W. Jacobs--if the three men and the spaniel actually had died and had somehow been brought back to life because Mrs. Sappleton's wish for their resurrection and return through the open window for tea had been granted. The reader himself, or herself, believes this is what is happening up until a certain point in the story, particularly when Framton looks at the "self-possessed" Vera and sees that
The child was staring out through the open window with dazed horror in her eyes.
I think most of us would confess that we too were taken in when we read the story for the first time, and that we too might have jumped up and run out of the house when we saw the dead men coming if we had been there.