Why does Nuttel leave in such a hurry in "The Open Window"?

Framton Nuttel jumps up and flees the Sappleton's house when he believes that he sees men coming back from the dead.
While Vera, Mrs. Sappleton's niece, keeps Framton company as he waits for his hostess to come downstairs, she asks him if he knows anyone in the area. After she learns that he is a complete stranger to the area, Vera weaves a fantastic tale of fact mixed with truth that completely deceives Nuttel. She tells him that her aunt has never accepted the disappearance of her husband and her two young brothers who went out hunting to their favorite area, but never returned. According to Vera, who has a talent for "romance at short notice," the men became mired in a treacherous bog that gave way and swallowed them. Their bodies were never found, Vera adds with dramatic effect. 
As the nervous Framton listens, his imagination is captured by Vera's tall tale, especially when she explains that her aunt, who still believes that her family will return, opens the window every evening until dusk in order to await them. Vera adds,

"Do you know, sometimes on still, quiet evenings like this, I almost get a creepy feeling that they will all walk in through that window-- "

These words unnerve the disquieted little man. Then, when Mrs. Sappleton finally enters the room, she adds to his tension as she says, 

"I hope you don't mind the open window,...my husband and brothers will be home directly from shooting, and they always come in this way."

After Framton explains his reason for coming to the Sappletons as a quiet rest for his nervous condition, a disinterested Mrs. Sappleton suddenly exclaims,

 "Here they are at last!...Just in time for tea, and don't they look as if they were muddy up to the eyes!"

Framton turns suddenly toward Vera and perceives a look of horror on the girl's face. Then, "[I]n a chill shock of nameless fear," Framton Nuttel turns to look out the open window. In the twilight, he is able to see three men with guns walking toward the open window. Just as Vera has told him, a brown spaniel walks beside the youngest man who repeats exactly what Vera has related that he would say to the dog. Terrorized by what seems a preternatural happening, Framton flees the Sappleton's house.