In Saki's "The Open Window," Framton Nuttel--as the name suggests--is already in a fragile state when he arrives at the Stappleton's as a way towards "a nerve cure." In addition, Vera, the "very self-possessed young lady of fifteen, surely notices his condition. So, she fabricates her tale of tragedy for the very reason that she knows it will disturb the nervous little man.
Using the open window as the figurative frame for her story leads Framton Nuttel to lend credence to it since the openness of this space seems undeceptive, as opposed to a dark room, for instance. Also, Framton is unsuspecting of a girl, and his sister has recommended the Stappletons to him.
Vera's story is cleverly woven as she utilizes what is true and skewers it to her tall-tale, knowing that the inevitable effect of the men returning just as Mrs. Stappleton will predict will shock Nuttel who has been told that they have died long ago. When Mr. Stappleton cries, "Here they are at last!" and Nuttel turns to Vera assuming that Mrs. Stappleton is delusionary, he sees instead a horrified look on Vera's face. Then, the poor man witnesses three figures crossing the lawn in the twilight with guns under their arms just as Vera has described the lost men. Framton Nuttel believes he has seen ghosts! As they near and a young voice speaks, Nuttel has a mental breakdown and frightened like Ichabod Crane who has seen the Headless Horseman of lore, he flees in his "headlong retreat."