This is a great question and it is one to which we are not provided with an answer in the story itself directly. However, it is certain that throughout this excellent vision of a possible future, we, just as George and Lydia Hadley are, are taunted by the too-real nature of the walls in the nursery and how threatening they are:

Lydia bolted and ran. Instinctively, George sprang after her. Outside, in the hall, with the door slammed, he was laughing and she was crying, and they both stood appalled at the other's reaction.

Even though they both "know" in theory that it is nothing more than "dimensional superreactionary, supersensitive colour film and mental tape film behind glass screens," the "reality" that it is able to create verges on being too real. However, I am thinking that if the veldt and the lions are actually created by the children and their imaginations, then the violence of the last scene is actually a symbol of the hatred that the children come to have for their parents and the anger that they feel at being parted from their beloved nursery. So, whilst we are never told how the illusion of the nursery becomes reality, I think the message is clear about the dangers of indulging too much in illusion and how the boundaries between "real" and "unreal" are often more porous than we think.