Rudyard Kipling's narration in "The Man Who Would Be King" is a reflection of his own beliefs at the time. Since the story is told by the survivor Carnehan, Kipling's unnamed narrator asks questions and receives the story as answers.
[Dravot said] "We won't get caught. We're going through the Khaiber with a regular caravan. Who'd touch a poor mad priest?"
"Have you got everything you want?" I asked, overcome with astonishment.
"Not yet, but we shall soon."
The narrator's question echoes the ambitions of the two men and their eventual downfall; they "get everything they want," but at the cost of upholding the lie of their godhood, which cannot continue forever.
"You went as far as Jagdallak with that caravan," I said at a venture, "after you had lit those fires. To Jagdallak, where you turned off to try to get into Kafiristan."
"No, we didn't neither. What are you talking about? We turned off before Jagdallak, because we heard the roads was good."
Here, the narrator is trying to make sense of their travels; his memory of the trip is incorrect, as Carnehan and Dravot decided to pose as locals instead of priests. Their change of plans came from pragmatism, as "the roads was good" and easier to travel.
Carnehan was shivering, and I feared that his mind might go. I wiped my face, took a fresh grip of the piteously mangled hands, and said:—"What happened after that?"
The momentary shift of my eyes had broken the clear current.
"What was you pleased to say?" whined Carnehan. "They took them without any sound."
Because of Carnehan's fragile state, the narrator has to bring him back to the story as he begins to fall apart. Earlier, he was established as staring into Carnehan's eyes to keep him focused, so his "shift" here that breaks the story shows how deeply traumatized Carnehan really is.
Two days later I inquired after his welfare of the Superintendent of the Asylum.
"He was admitted suffering from sun-stroke. He died early yesterday morning," said the Superintendent. "Is it true that he was half an hour bareheaded in the sun at midday?
"Yes," said I, "but do you happen to know if he had anything upon him by any chance when he died?"
"Not to my knowledge," said the Superintendent.
And there the matter rests.
(All Quotes: Kipling, "The Man Who Would Be King," gutenberg.org)
The narrator's famous final question allows the reader to understand that Carnehan may have been entirely insane after all; he does not have Dravot's head, which he claimed to have brought back from his execution, and he likely discarded it after he told his story. It is possible that something else happened to Dravot, and Carnehan in his fragile mental state invented the wild tale as justification for Dravot's death. The narrator is also able himself to put the matter behind him; without the head, there is little reason to pursue the matter, and he lets the reader know that there is nothing more to be known.