I would argue that the last sentence of "The Open Window" is critical to the story's effect. It provides the information that makes the whole story make sense. The line reads as follows:

Romance at short notice was her speciality.

The word "romance," as it is used here by Saki, refers not to an attraction but to a fabrication. Young Vera has made up a story that is "romantic" in the sense of being mysterious and unfamiliar. She feeds this story to the vulnerable Framton, who falls for it hook, line, and sinker. It is in this final line that the reader comes to understand that Framton has not just seen a ghost but rather has fallen for a tall story.

Vera is quite the actress when standing with Framton and Mrs. Sappleton. As they watch the three men and dog walk back towards the window, she is described as having a "dazed horror in her eyes." This would naturally lead the reader to think that the beings approaching are four ghosts. This is clearly what Framton believes, which leads to him taking off at such a rate that he nearly causes a collision on the road outside.

Just before the final line, Vera tells another tall story, saying that she assumes Framton took off because of a nonexistent "horror of dogs." She backs this story up with a pack of lies about how Framton was once chased by dogs on the banks of the Ganges. This is the first time that readers, who will be familiar with Framton and Vera's exchange earlier in the story, will know for sure that Vera is lying. The last line serves to confirm this suspicion.