When and how do readers of Saki's "The Open Window" know Vera has been lying?

Part of the beauty of "The Open Window" is that the reader is taken in by Vera's story just like Framton Nuttel. The reader gets the same uncanny feeling that Framton experiences when he sees Vera staring out the open window "with a dazed horror in her eyes" and then turns and sees what the girl is staring at.

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. 

Framton never finds out that he has been the victim of a practical joke. But the reader learns the truth when the three hunters enter through the open window and Mr. Sappleton speaks to his wife.

"Here we are, my dear," said the bearer of the white mackintosh, coming in through the window, "fairly muddy, but most of it's dry. Who was that who bolted out as we came up?"
"A most extraordinary man, a Mr. Nuttel," said Mrs. Sappleton; "could only talk about his illnesses, and dashed off without a word of goodby or apology when you arrived. One would think he had seen a ghost."

Vera has not only done a fine job of story-telling, but she has also done a fine job of acting. Her look of "dazed horror" seems to verify that the three returning hunters are the men her aunt has been expecting for three years. Mrs. Sappleton is perfectly cast in Vera's little drama because the girl knows exactly what her aunt is going to say when she comes down. Mrs. Sappleton will explain the open window and then start dithering

...cheerfully about the shooting and the scarcity of birds, and the prospects for duck in the winter.

Mrs. Sappleton's single-minded conversation contains nothing to contradict Vera's fiction that the lady's husband and two younger brothers were sucked into a bog and that her aunt, whose mind was destroyed by the tragedy, has been waiting for them to return for three years. Even Ronnie plays his part just as Vera has learned to expect.

Noiselessly they neared the house, and then a hoarse young voice chanted out of the dusk: "I said, Bertie, why do you bound?" 

The reader realizes that this is just a normal incident at a stodgy English country manor. Three men have been out shooting all day and are now returning for tea.