options might be simultaneously correct? One could also note Mortimer's warning to his wife after Sylvia had stumbled upon a shrine to Pan and in her reaction angered the ancient god:

I should avoid the woods and orchards if I were you, and give a wide berth to the horned beasts on the farm.

As far as the story's action is concerned, it's all very uncertain and unclear as to what is really going on. There's certainly enough to suggest a supernatural explanation, but at the same time, even a supernatural explanation is never clearly stated for us. We don't know that it's Pan, just as we don't know that it's not Pan. The audience is actually placed in the same uncertain suspension as Sylvia herself—a quality which makes the story's eeriness all the more powerful in effect.

One last element worth talking about is Saki's use of point of view. Usually when people discuss point of view, they tend to focus on whether it is written in first person, second person, or third person (and the advantages and disadvantages of each type), but in reality, the iceberg goes much deeper than that. One of the key elements that goes alongside point of view is narrative distance, or how far removed the narrator is from the characters and events that are being described. In this story's case, we are being told a story from an extremely distant narrative perspective, so much so that the third person narrator emerges as an entirely separate presence with a unique voice and perspective of their own. Consider the story's introductory description of Sylvia, its lead protagonist:

She was scarcely pugnacious by temperament, but belonged to that more successful class of fighters who are pugnacious by circumstance. Fate had willed that her life should be occupied with a series of small struggles, usually with the odds slightly against her, and usually she had just managed to come through winning. And now she felt that she had brought her hardest and certainly her most important struggle to a successful issue. To have married Mortimer Seltoun, "Dead Mortimer" as his more intimate enemies called him.

This kind of style and exposition is not by accident, and it hearkens to a specific form of narrative voice common to ghost stories and the supernatural. (It is the kind of narration that almost asks to be read aloud.) This story is not told through Sylvia's eyes (as you inevitably would find in first-person point of view, and very often in third person limited point of view); rather, it is being told to us by the storyteller, who has an entirely distinct voice entirely their own. That raises a whole new set of questions as to the rules of the setting itself and what degree of realism we should expect from it. These are questions Saki never answers, which makes the entire story all the more murky and uncertain.