The open window as the frame for her fabricated story lends a false sense of truth as openness is usually suggestive of veracity. By this initial deception, Vera establishes suspension of disbelief on the part of Mr. Nuttel. Her use of words such as tragedy in a "restful country spot [where]tragedies seemed out of place" creates immediate suspense. Then, Vera points to the window and suggests its connection to the "tragedy." Her breaking voice that becomes "falteringly human" as she says that the bodies were never recovered certainly adds to the suspense, as well.
Certainly, there is also some suspense when, after Vera has told Mr. Nuttel that the aunt refuses to believe that the men of her family are gone, and the aunt appears, Nuttel wonders what this woman will say about the open window before them.