The implication in the story is not that no one believes Iona necessarily, but that, far more tragically, no one cares.

"Misery" is a story that concerns a lonely cabman named Iona out on his nightly rounds, attempting to make enough money to sustain both himself and his horse. He eventually gives up out of sheer misery and isolation without having even enough money to buy oats for his horse to eat. The reason that Iona is so miserable is that he has been trying desperately to get anyone to talk to him about the death of his son, who has been gone from an illness for almost a week, however, he has had no one to speak to to help him move on in the grieving process.

Every time Iona attempts to talk to one of his fairs, he is met with almost immediate dismissal, and in the case of one fair who shorts him, verbal and even physical abuse. Iona seems to care little for how the world treats him, however, because the interactions with humans offer him momentary reprieve from having to be alone with his thoughts. Eventually, he retreats back to his home, and contents himself by talking to his horse.