Saki's written style is perfectly matched to his choice of settings. He often sets his stories in the kind of respectable social environments with which he was all-too familiar. One thinks of the big Edwardian country house in "The Open Window" or the British House of Commons, where Arlington Stringham makes his fateful joke in "The Jesting of Arlington Stringham."
These settings allow Saki to satirize certain elements of contemporary, upper-class English society, using the irony which is his stock-in-trade to devastating effect. There's no trace of sentimentality in Saki's written style; this makes his withering criticism of society's numerous hypocrisies all the more effective, and his famous twist endings just that little bit more powerful.
There's nothing ostensibly horrific about Saki's stories, but the detached, ironic prose does induce a certain unease in the reader. We know that something unpleasant's about to happen to one or more of the characters, but we don't know quite what. A less talented writer would've adopted a more lurid written style, making the horror of the situation more explicit, and therefore much less subtle or effective.