The great tragedy to which Vera refers in the story "The Open Window" is entirely fictional. It is a made-up story that she is able to pull out instantly since "Romance at short notice was her speciality."
Vera tells the story to houseguest Framton Nuttel, a nervous man who is attempting to find a "nerve cure" by visiting the countryside. Nuttel's sister had met Mrs. Sappleton, Vera's aunt, a few years back. She sent her brother to the country home with references, with the aim to have the family take him in.
Since Vera sees that Nuttel is a weak man, she uses her skill in storytelling to concoct a tragic story involving her aunt's husband and her (aunt's) two brothers.
According to Vera, it was three years ago when the men had gone hunting and never came back. They left through the open window, which is still kept open in the house.
The actual tragic event was that, supposedly, the men were
"...Engulfed in a treacherous piece of bog. It had been that dreadful wet summer, you know, and places that were safe in other years gave way suddenly without warning."
Vera tells Nuttel that the aunt refuses to believe that the tragedy took place, and still waits for the men to come back from the hunting trip. Moreover, Vera adds an air of horror to the story by consistently staring at the window in suspense, saying that her aunt, at any moment, awaits for the dead men to come back through the window from their trip.
This is the part where Framton Nuttel completely loses his nerve and runs away from the house in horror.