Before Mrs. Sappleton comes down, Vera says to Framton:
"You may wonder why we keep that window wide open on an October afternoon."
Then she tells him the story about the deaths of Mrs. Sappleton's husband and her own two young brothers (who would be Mrs. Sappleton's nephews).
So it is October, and it would be unusual to leave a big window wide open in England that late in the year. That is why both Vera and her aunt refer to it. But Saki wanted to call particular attention to that open French window, which is why he titled his story "The Open Window." Both Vera and her aunt will be staring at it when the three "ghosts" appear outside. The hunters will be headed straight for the open window, and the fact that it is open will add to Framton's terror.
When Mrs. Sappleton calls attention to the open window, she tells a story which is somewhat similar to the made-up story told by young Vera. Mrs. Sappleton explains that she is expecting the three hunters to return, which is exactly what Vera has already told him. However, the aunt expects them to return from one day in the field, whereas Vera told Framton that she has been expecting them for three years.