Because "The Open Window" takes its name from an element of the story's immediate setting, Saki sets the reader up to expect something from the open window before the story has even begun. Rather than serving as a piece of visual imagery in the background of the story, the open window instigates several of the story's main events. Both Saki's story and Vera's story spring from the open window; it becomes clear that something significant will have to happen in relation to this element of the setting.

'You may wonder why we keep that window wide open on an October afternoon,' said the niece, indicating a large French window that opened on to a lawn.

From the opening lines of the story until this point, the reader has been left waiting to find out what the significance of the title is. Vera goes on to tell Mr. Nuttel and the reader that her aunt "always thinks that they will come back some day [...] and walk in at that window." And at the end of her story, Vera says that she "almost [gets] a creepy feeling that they will all walk in through that window." These lines, along with the window that has now been draped in tragedy, foreshadow that the men will in fact walk through it soon. 

However, this foreshadowing is lost on Mr. Nuttel and the reader because Vera has tricked them. If Vera's story is true and the men will eventually walk through the window, they will be walking through it as ghosts or zombies, risen from the dead. Thus, this instance of foreshadowing not only hints at the imminent return of the men but also the eventual revelation that Vera's story was false all along.