In "The Open Window," how does Saki catch readers by surprise?

In “The Open Window,” Saki introduces us to a very creative fifteen-year old, Vera.  A man, who has never met any of the family, Mr. Framton Nuttel, has come to visit with a letter of introduction from his sister. He knows nothing of the family he is visiting.  Mr. Nuttel is in the same situation as the reader.  The reader also knows nothing of the family. The background the reader gets comes from the young...

In “The Open Window,” Saki introduces us to a very creative fifteen-year old, Vera.  A man, who has never met any of the family, Mr. Framton Nuttel, has come to visit with a letter of introduction from his sister. He knows nothing of the family he is visiting.  Mr. Nuttel is in the same situation as the reader.  The reader also knows nothing of the family. The background the reader gets comes from the young niece.  So, when she tells Mr. Nuttel of the tragedy that happened in the family, the reader believes her as much as Mr. Nuttel does.  The only advantage the reader has is that Mr. Nuttel is on the verge of a nervous breakdown, the reader is not.

Vera weaves a tale of how her uncle and two of her aunt’s brothers went off on a day of sniping, never to return.  Her aunt keeps a window open for them in hopes they will return someday because that was how they would reenter the house after a day of hunting.  The impression is given that the men died, and the reader and Mr. Nuttel sympathize with Mrs. Sappleton.   When the men do return, the reader is as surprised as Mr. Nuttel.  Saki makes it a bit more ghostly by having the men return in the dim light of evening.

“In the deepening twilight three figures were walking across the lawn towards the window, they all carried guns under their arms, and one of them was additionally burdened with a white coat hung over his shoulders.  A tired brown spaniel kept close at their heels.  Noiselessly they neared the house, and then a hoarse young voice chanted out of the dusk, ‘ I said Bertie, why do you bound?’ “ (pg 2-3)

The reader is as surprised as Mr. Nuttel until it is revealed that the whole story Vera told was a figment of her creative imagination.

My copy of the story was taken from the internet so the pages may not coincide with your copy.  However, they should be close.