The setting of this story is extremely important. The three men have been out shooting birds. Vera sets Framton Nuttel up to believe that they are ghosts when he sees them returning out of the gathering dusk and heading towards the open window. But he wouldn't be quite as terrified by these figures if he thought they were only ghosts. What gives the ghost story an additional "turn of the screw," to borrow from Henry James, is that these three "ghosts" are all carrying guns. The guns present more of a threat than the ghosts. What could the ghosts do to him if they were not armed? They don't even know him. They have nothing against him. They are simply coming home for tea. It is the fact that they are avid hunters that makes Vera's ghost story so effective. They are carrying shotguns because they have been out shooting, and it is the fact that they have guns, rather than the fact that they seem to be ghosts, what makes them so terrifying to poor Framton Nuttel. He feels he has to run for his life and keep on running because he needs to cover a long distance before he will be safely out of shotgun range.
As he nervously awaits the appearance of Mrs. Stappleton, to whom he will present his letter of introduction, Framton Nuttel converses with the precocious niece, Vera, who asks him if he knows much of her aunt. When Nuttel replies in the negative, Vera confidently launches into her tall tale, a tale of tragedy that accompanied by the openness of the window and the "undefinable something...to suggest masculine habitation," seems so plausible to him that Nuttel is horrified and suffers a nervous setback when he witnesses the three men returning from the hunt:
In a chill shock of nameless fear Framton swung round in his seat and looked...grabbed wildly at his stick and hat...
and fled down the gravel drive and out through the front gate without learning what the reader does; namely, that "Romance at short notice" is, indeed, a talent of Vera. For, ironically, the readers, who have grown to trust the author Saki in his tale, have also been tricked. However, Saki allows the readers to regain their composure and declare that they knew all along that a trick was being played. And, whence comes a second irony: the witty Saki has had his fun disarming the high society of the Edwardian Era, even if he does grant them easier treatment than that of Framton Nuttel.