Saki describes the setting and the atmosphere in the opening paragraph of his story.

It was some thirty minutes past six on an early March evening, and dusk had fallen heavily over the scene, dusk mitigated by some faint moonlight and many street lamps. There was a wide emptiness over road and sidewalk, and yet there were many unconsidered figures moving silently through the half-light, or dotted unobtrusively on bench and chair. scarcely to be distinguished from the shadowed gloom in which they sat.

Saki was the best kind of short story writer. He could create a story out of nothing more than a setting and populate that setting with characters from his imagination. The great French story teller Guy de Maupassant was another such writer. So was the American writer O. Henry, as can be seen in stories such as "The Cop and the Anthem" which begins with a description of late fall in a public park and the fear inspired by the coming on of winter.

Dusk is an essential time to Saki's story. It is not too light and not too dark. Con artists had to be careful. They were breaking the law. And the exigencies of their profession required that the very person they were trying to swindle could become a witness against them in court. The London streets were patrolled by policemen on foot, and these "bobbies" enforced the laws strictly. If a con artist tried working his scam on respectable citizens in broad daylight, he would soon end up in jail, possibly sentenced to hard labor. On the other hand, if he waited until it was completely dark, most people would be behind closed doors, and those who might still be on the streets would be nearly impossible to approach. There would be criminals on the streets at night, but they would be more dangerous criminals than mere con men. Nighttime was the time for robbery, burglary, and even murder.

Saki even gives his story the title of "Dusk" because the time and the atmosphere are so important to the plot. The young man who tells Gortsby his hard-luck story has to appear to be under pressure to get a roof over his head before nightfall. Night is closing in. He only has two pennies in his pocket. Saki specifies that the time is the month of March. It will not only be dark soon, but it will be getting very cold in England that early in the year.

What atmosphere does dusk create in Saki's short story "Dusk"?

One poet wrote that twilight, or dusk, is a time of other worldliness, for it is that vague space between time, being neither day nor night.  In twilight there is a suspension of the world and of time--briefly.

This setting is ideal for Saki's story. The atmosphere is somewhat unreal, deceptive, and illusionary.  As Grotsby sits on the bench in Hyde Park, London, he reflects that the scene pleases him and harmonizes with his mood as it is "the hour of the defeated."  Certainly, the sun descending is symbolic of defeat and endings.  The atmosphere, as Saki writes, is one of "glooming."  It is one also in which one can be deceived as perception is more difficult in the dim light of dusk; certainly, the main character, Norman Grotsby, is tricked by his own complacency.