A French window, commonly called a French door in the United States, may be the type of window to which Vera alludes in her tall tale that she fashions for Framton Nuttel. The brothers and husband of Mrs. Sappleton leave and return through this opening since by doing so they avoid muddying the carpets in the house after walking near bogs and such.
Of course, the fact that Vera knows full well that the men will return and enter through this same window allows her to create her story which will horrify the nervous Nuttel:
Out through that window, three years ago to this day, her husband and her two young brothers went off for their day's shooting. They never came back....Poor aunt always thinks that they will come back some day...and walk in at that window just as they used to do....
To the last detail Vera describes how the men left as the father carried his waterproof coat over his arm while the youngest brother lightly scolded his small brown spaniel, "Bertie, why do you bound?" With a shudder, Vera tells Nuttel that she sometimes has a "creepy feeling" that they really will walk through the window as her deluded aunt believes. So, when Mrs. Stappleton exclaims, "Here they are at last!" and the men appear as Vera feigns horror at the sight, the nerve-wrecked Framton Nuttel flees in fright.