Situational irony is a literary device whereby something occurs that is the exact opposite of what we'd normally expect to happen. In "The Open Window," the reader, along with Framton Nuttel, expected that his stay in the country would go some way towards restoring his damaged nerves. A highly neurotic individual, Framton has been sent to the country on doctor's orders for a rest cure. As part of his recuperation, he's planning to pay a visit to some local families in the area, recommended to him by his sister.
One such family is the Sappletons, who live in a large, respectable house—not the kind of place you'd ever expect anything bad to happen. But unfortunately for Framton, something bad does occur. In a classic example of situational irony, he ends up being scared out of his wits by Vera's ghost story, so that when he sees the Sappleton men returning from their hunt through the open window, he assumes that they're the spirits of the dead.
Framton went out into the country to restore his health. And yet look what's happened: his nerves are in an even worse state than they were before. And that's not what he or anyone else could reasonably have expected to happen.