The "tragedy" of Saki's "The Open Window" is part of the tall-tale woven within the frame story by the imaginative Vera in order to amuse herself by manipulating the feelings of the nervous Framton Nuttel. Cleverly, Vera forms her tale from true events of the day:  Her uncle and his two brothers-in-law along the Stappleton dog have gone hunting snipe in a marshy area:

In crossing the moor to their favorite snipe-shooting ground, they were all three engulfed in a treacherous piece of bog.

The illusion of truth, symbolically suggested by the openness of the window, deceives the unsuspecting and gullible Framton. who, when the men actually return causes him such distress and humiliation that the poor man flees the Stappleton house--another moment that is part of the fabricated "tragedy" since rather than receiving much needed rest, Framton experiences more nervousness and exacerbates his already fragile condition.

Vera is bored with country life. She is mischievous. She probably resents being confined to the house while the men can go hunting. She also probably resents being used as a substitute hostess while her aunt is putting finishing touches on her appearance in preparation to greet the visitor Framton Nuttel. Vera has a vivid imagination and probably entertains herself by making up stories. She spontaneously invents a story to see if she can make the visitor believe it. The "tragedy" she refers to is the totally fictitious death of three male relatives:

"Out through that window, three years ago to a day, her husband and her two young brothers went off for their day's shooting. They never came back. In crossing the moor to their favourite snipe-shooting ground they were all three engulfed in a treacherous piece of bog."

Vera makes Framton believe that her aunt leaves the tall French window open because she became mentally deranged by the "tragedy" and is still expecting the men to return. When the three men actually do return accompanied by their spaniel, Framton believes they are ghosts and flees from the house in terror. He is especially unnerved because the aunt cries, "Here they are at last!" and fifteen-year-old Vera, who is  described as "self-possessed" and "very self-possessed," suddenly adopts an expression of "dazed horror." (Saki probably chose the name Vera for his young heroine because it suggests truthfulness.)