I think that one of the key ways in which Dahl creates tension in this darkly humorous and incredibly ironic short story is through the killing of Patrick Maloney by his wife, Mary. Mary is deliberately described in great detail as the ideal, loving and caring wife, who is completely devoted to her husband. Note how the text says:
She loved to luxuriate in the presence of this man, and to feel - almost as a sunbather feels the sun - that warm male glow that came out of him to her when they were alone together.
This is clearly rather over the top, but it also makes us feel incredibly sympathetic towards her when we discover her plight when Patrick tells her he is leaving her. Her murder of course is a shock - we don't expect a woman who is so devoted to her husband to suddenly kill him, but it also increases the tension incredibly by making us wonder what will happen to her and what her fate will be, especially as she is pregnant. It is this that, above all, raises the tension as we wait and see how Dahl resolves this deliciously wicked tale.