What effect does the dramatic twist have on Framton and the reader in "The Open Window''?
With her self-confidence and poise and the use of the open window as the framing (pun intended!) device for her tall tale, both Framton and the reader are taken in; there is no question. Thus, believing that Vera's narrative is a tragically veritable history of Mrs. Stappleton's family, Framton, along with the reader, feels pity for the deluded Mrs. Stappleton when she exclaims, "Here they are at last!"
But, of course, it is not Mrs. Stappleton, but Framton, along with the reader, who are deluded. Poor Framton, is terrorized by the look of horror on the girl's face, for he does, indeed, believe he has seen ghosts, while the reader, who has the benefit of the omniscient narrator who describes the men as they approach the house, is merely a bit disgruntled at her own guillibility, yet certainly appreciative of Saki's wonderful use of irony and the surprise ending. As a sort of apology for fooling the reader, Saki adds the wryly humorous last sentence: "Romance at short notice was her specialty."
To answer this, I think that you should just look at what Framton does when he sees the men coming back towards the house, acting just as Vera has said they will. I think that Framton is badly shocked by the twist.
We can see this from his actions. As soon as he sees the men he goes hurtling out of the house and almost runs into a bicyclist. He is clearly completely freaked out because he fears the "ghosts."
To me, at least, the twist makes me think that this is a ghost story. It makes me think that there are really are ghosts coming because I do not (at this point) think that Vera could have been lying. When I do find out that she has been lying, I am appalled at her but also highly amused. (But Framton never finds out about her lying, that we know of, so I do not think this should be part of your answer.)