The setting of the story "The Open Window" by H.H. Munro (Saki), is the Stappleton house: A house in the country, we can assume it to be a country estate, often owned by the Victorian and Edwardian middle classes to spend time with nature after the London season is over.
A country house is an interesting setting for this story because it immediately instills in the reader a feeling of isolation, separation, and quietness. This, combined with the fact that Mr. Nuttel went there to cure his nerves, hints at a semi-Gothic scenario involving a lonely place in the middle of nowhere.
This is effective because, as we see later, the story that Vera creates to scare Frampton is quite eerie and goes perfectly well with the atmosphere of the place: Foggy, quiet, isolated. In a typical Gothic story, something creepy always happens in a setting of that kind. Saki treated this "horror" aspect of his funny short story by providing the perfect scenario in which Vera's story would seem valid.