When we consider the word style, a number of different aspects can be included under this heading. However, one of the most interesting aspects of the style in this story is the way that Bierce chooses to tell this tell out of chronological sequence, using flashbacks to muddle up the order and create a distorted, muddled effect. For example, the second section of this great short story is a flashback returning to Petyon's life before he decided to destroy the bridge, before the tale returns again to Peyton's supposed "escape." Partly this confusion is to reflect the confusion within Petyon Farquhar himself as he embarks on his flight of fantasy in his "escape." However, also, it serves to heighten the dramatic contrast between the first and third sections of the story, as we are left hanging (excuse the terrible pun!), waiting to see what will happen to Farquhar and if he will die or if he will escape.
If you want to examine other stylistic aspects of this story, you might want to look at the way the point of view is altered and changes, specific word choice that suggests that Farquhar's escape is not actually real, and then the tone that the author creates in his work.