This short story tells the tale of a conversation that happened on a train. The language is difficult at times and helps the "twist" blend into the story without being obvious.
The twist is revealed at the end of the story when two passengers are discussing the conversation they overheard. The twist is that the passenger who acting to the the Marshall is actually the prisoner. We infer this because the other passenger says "Did you ever know a Marshall to handcuff a prisoner to his right hand." We know the Easton is actually the prisoner because when he went to shake Miss. Fairchild's hand he shook with the left because his other hand was handcuffed. The onlookers pointed out that an officer of the law would never occupy their good hand (presuming most people are right handed) by attaching it to a prisoner. Therefore, Easton is actually the prisoner not the Marshall.