The title "The Open Window" is suggestive. We feel that something involving that window has either happened or is about to happen. From the title we do not visualize the kind of window actually used in the story, which is a tall French window that can be used like a door. The fact that it is open suggests danger. Anyone could enter the house for any purpose. It also suggests the existence of an entire world outside where anything might happen. We are sure that some important event connected with the open window has occurred or is going to occur; otherwise, the story would not have been given that title. The title suggests a lot but really says nothing. It just piques our curiosity and makes us want to start reading the story. We come to realize that the open window is the most important element of the setting. Vera talks about the open window. The aunt immediately begins talking about the open window. Framton Nuttel remains uncomfortably aware of the open window, and the three supposedly dead men are obviously intending to enter the house through that open window. Saki does not explain why the French window has to be left standing open. Couldn't the hunters just open the window themselves? Is it possible that the window is designed in such a way that it can only be opened from the inside because there is only an inside handle? That seems plausible. It would allow people on the inside to open it but prevent outsiders from doing so. It would provide both convenience and security. Readers of Saki's time might have understood this without explanation.
Saki's use of the open window is a marvelous technique for so many reasons, some of which have already been mentioned. Clearly, it is an ironic symbol as an open window usually indicates truth and the future. In Vera's case, it is the opportunity for fabrication and a closed tale of death. It also suggests, as the above post mentions, a wariness of venturing out to areas unknown.
Let us not forget,also, the reiteration of the concept of the frame story. Vera's tall tale is a framed story within the main story figuratively; it is also a literally framed story as there is the frame of the real window through which the imaginary tale grows.
I have always thought that the open window of the title acts symbolically to describe the opportunity that Vera sees when she meets Frampton and deduces that he is an "open window" for her talent for creating stories. In a sense, the story warns us about being to susceptible to the power of excellent story tellers, such as Vera. We are warned to not let ourselves become an "open window," exposed to manipulation, as Frampton himself was.
The title also represents the endless possibilities of Vera's imagination and Framton's fears. The window's being open allows for anyone or anything to enter into the seemingly safe house (remember that Framton has come to Vera's area of the country to calm his nerves).
Similarly, Vera--an observant, precocious teen--seizes upon the "open" opportunity to frighten Framton.
I would that it is because the open window is a major part of the story. The fact that the window was open may well have given Vera the idea of making up that story about the hunters being dead. The window made it possible for Framton to see the hunters as they returned. Since the window makes the story possible, it makes sense to name the story after it.