First, suspense is created through the context. Rainsford is on a ship in a remote place. The setting is mysterious and dangerous. Right from the beginning this tone is struck. Notice the words that Connell uses:
"OFF THERE to the right--somewhere--is a large island," said Whitney." It's rather a mystery--" "What island is it?" Rainsford asked. "The old charts call it `Ship-Trap Island,"' Whitney replied." A suggestive name, isn't it? Sailors have a curious dread of the place. I don't know why. Some superstition--"
Second, when Rainsford meets the general, the general's appearance gives off a vibe of eeriness. The reader knows that all is not well and that something ominous is going to take place. Here is how Rainsford describes him:
Rainsford's first impression was that the man was singularly handsome; his second was that there was an original, almost bizarre quality about the general's face.
Finally, when the hunt begins, Rainsford is completely the underdog. General Zaroff has a huge companion of a man, Ivan, and dogs to hunt down Rainsford on his island. This means that he has the advantage in every possible way. The reader wonders: What will happen next? Will Rainsford survive? Suspense, therefore, is embedded in the text to the end of the story. In fact, there is no resolution until the last sentence.