I think the most clever part of the story is where Mrs.Sappleton finally comes down and begins talking about how she left the window open because he is expecting her husband and brothers to be returning home from shooting. She is simply stating the plain facts, but Vera has cunningly prepared Nuttel to expect Mrs. Sappleton to be mentally unbalanced because of the "family tragedy" she says occurred three years ago. Nuttel, of course, can say nothing to contradict the woman because he is a stranger, because he thinks it would be useless, and also because he thinks it would be cruel to try to tell her that the three men are dead. Vera not only knew that the three hunters would be showing up outside, but the clever girl knew what her aunt was going to start talking about as soon as she came downstairs. The aunt would know that Nuttel expected to be introduced to the men of the house, and she would want to explain that they would be arriving home soon.
The best part of the story to my mind is the conclusion, when we put the puzzle pieces together and realized the whole story about the hunters lost in a quicksand bog was the cool-headed fabrication of a young and "self-possessed" lady with an uncontrolled imagination.
Always with Saki's stories there is an unexpectedness to the narration. With his exposition, the reader is set up to expect Framton Nuttel to do something erratic--look at the name!--but it is the "very self-possessed young lady of fifteen" who apologizes about herself--"you must try and put up with me"--who provides the surprises.
And, not only is there one, but there are two twists (as mshurn has already stated), with the unexpected second story, indeed, funnier. But, Saki is not finished: "Romance at short notice was her specialty." How clever an ending sentence--even it contains verbal irony!
The best part of Saki's story is its surprising conclusion when poor Mr. Nuttel thinks dead people are walking into the room, and we realize how Vera has entertained herself at his expense. In some ways, though, what comes after that is even funnier as Vera immediately spins another wild story about Mr. Nuttel spending a terrifying night in an open grave in a cemetery in India after being hunted by wild dogs. Vera is just awful! She does, however, have a very vivid and creative imagination.