One of the tall tales Vera tells Framton Nuttel is that her aunt's husband and two brothers were killed three years ago by being sucked into a bog while out hunting.
"In crossing the moor to their favourite snipe-shooting ground they were all three engulfed in a treacherous piece of bog."
The other tall tale is that Mrs. Sappleton, Vera's aunt, lost her mind because of the terrible tragedy. This explains why the poor woman leaves the French window open. For three years she has been waiting for her men to come home for tea and to enter through that window.
"Poor aunt always thinks that they will come back someday, they and the little brown spaniel that was lost with them, and walk in at that window just as they used to do."
Vera gives Framton a description of the men, so that when he sees them approaching the open window he will believe they must be the men who were killed three years ago and will naturally take them to be ghosts. She tells Framton about the spaniel that went with them, about the white waterproof her aunt's husband was carrying, and about how Ronnie always sang, "Bertie, why do you bound?" as he was approaching the house.
When Mrs. Sappleton appears she impresses Framton as being insane, because she immediately seems to verify what Vera has been telling him about her.
"I hope you don't mind the open window," said Mrs. Sappleton briskly; "my husband and brothers will be home directly from shooting, and they always come in this way."
Framton doesn't panic until Mrs. Sappleton makes a startling announcement.
"Here they are at last!" she cried. "Just in time for tea, and don't they look as if they were muddy up to the eyes!"
Naturally he thinks she is just imagining things. He is seated in such a position that he cannot see the open window or anything outside. He turns to give Vera a look of understanding sympathy, only to see that "the child was staring out through the open window with a dazed horror in her eyes." Then when Framton turns to look out the window, he is sure the three approaching men must be ghosts. The fact that all three are carrying guns naturally makes them more frightening, and the fact that they are covered with mud creates an impression in his mind that they have somehow managed to climb back out of the bog that killed them three years ago.
So the two tall tales are (1) that Mrs. Sappleton's husband and brothers were killed three years ago, and (2) that her aunt became permanently insane from the shock of losing them and still waits for them to return every night through that open window.