In "The Open Window" by Saki, why do you think Framton Nuttel is so completely taken in, or tricked, by Vera's story?

Saki created the characters, the setting, and all the elements to suit his purpose, which was to have a visitor think three men approaching a country house were ghosts and to make him flee for his life. Vera is a good story teller. She is just young enough to think of playing such a prank, but just old enough to be taken seriously. After all, she is acting as the hostess. The big French window standing open at that late hour in cold October weather makes an excellent prop. Vera says her aunt has been leaving it open for the past three years because she expects her husband and two brothers to return through it in time for tea. The silly goose of an aunt falls right in with Vera's scheme. The girl knows exactly what her aunt is going to say, and it serves to substantiate the story. 

"I hope you don't mind the open window," said Mrs. Sappleton briskly; "my husband and brothers will be home directly from shooting, and they always come in this way. They've been out for snipe in the marshes today, so they'll make a fine mess over my poor carpets. So like you menfolk, isn't it?"

Vera also knows that her aunt's youngest brother Ronnie would start singing "Bertie, why do you bound?" as he was approaching the open window. So, it isn't Vera's story by itself that produces such a effect on Framton Nuttel. Aunt Sappleton contributes greatly with her conversation. There is also the fact that Framton is all wrapped up in himself and his nerve problems. He is only half-listening to Vera's story and doesn't have enough spare mental energy to suspect that the whole thing could be a practical joke.
The payoff comes when Mrs. Sappleton sees the three hunters approaching.

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

Framton looks at Vera, expecting the girl to show by a look that this is typical behavior of her aunt, who lost her mind when her three men were sucked into a bog and has been looking for them to return ever since. But instead Vera is looking at the open window with goggle-eyed horror, as if to verify her aunt's recognition of the three approaching hunters as the men she has been expecting for the past three years. And then Framton looks out the open window and sees three men matching the descriptions Vera had given them when she told him about the "family tragedy." They are even accompanied by a little spaniel who was supposed to have died three years ago along with the hunters.
The fact that Framton Nuttel is so completely taken in is authenticated by the effect the story has on the reader. The typical reader of "The Open Window" thinks there really are three dead men approaching in the twilight and does not understand that Framton Nuttel has been tricked until Mrs. Sappleton's husband enters and has the following conversation with 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."

In other words, both Framton and the reader are taken in by Vera's ghost story, and only the reader is let in on the joke because Framton is a mile away by then and still running. If we ask, "Why was Framton Nuttel so completely taken in?" we might ask, "Why were we so completely taken in ourselves?"