Framton Nuttel knows nothing at all about the Sappleton family. He is only calling on them because he was given a letter of introduction by his sister, who seems to have known little about them herself. Vera plans to tell him her ghost story--but first she has to make sure that he is a newcomer to the region and doesn't have any prior knowledge of her family. She asks two direct questions.
"Do you know many of the people round here?"
"Hardly a soul," said Framton.
"Then you know practically nothing about my aunt?" pursued the self-possessed young lady.
"Only her name and address," admitted the caller.
This sounds like the kind of innocuous conversation a hostess might initiate, but the information is important to Vera. It is also important expository information for the reader. The reader must be informed that Framton hasn't heard about any family tragedy such as Vera goes on to describe. Saki could have conveyed this information through direct expository prose, but it works better to have Framton convey it in dialogue. The reader will attach less importance to this chit-chat than if the same information were provided directly by the storyteller. It is noteworthy that the reader is kept in the dark until Framton has fled the scene in a panic. Then the reader will understand the girl's entire practical joke all at once.
"Here we are, my dear," said the bearer of the white mackintosh, coming in through the window, "fairly muddy, but most of it's dry. Who was that who bolted out as we came up?"
"A most extraordinary man, a Mr. Nuttel," said Mrs. Sappleton; "could only talk about his illnesses, and dashed off without a word of goodby or apology when you arrived. One would think he had seen a ghost."