In Saki's short story, the setting of a window/French door that is left open is literally the framework of the narrative as well as the instrument of Vera's exploitation of Framton Nuttel.
Sent to engage with Mr. Nuttel while her aunt finishes her toilette, the "very self-possessed young lady of fifteen," Vera, takes command of the situation after Nuttel and she "had had sufficient silent communication." After noting Nuttel's discomfiture and his admission that he knows "practically nothing" about her aunt, the precocious girl takes advantage of the situation to employ her "specialty" of "[R]omance at short notice," and fabricates a tragic tale about her male relatives who have departed earlier through the passage of this open window. Cleverly, she weaves this tale with both fact and fiction to give it "Verasimilitude."
Then, anticipating the return of the men through this same window, Vera effectively creates in Framton anxiety and doubt about the sanity of Mrs. Stappleton, saying, "Poor aunt always thinks that they will come back some day." So, when the men really do arrive and the aunt exclaims, "Here they are now!" while Vera feigns horror, the already unbalanced Framton Nuttel believes he is seeing ghosts and flees in terror.