In this context Saki uses the word "Romance" to mean made-up stories of a wild or improbable nature. This meaning of the word is older than the modern association with falling in love (although this usage was also known in Saki's time.) It used to be quite common to accuse someone of "romancing" if they told you a tall or improbable story.
In "The Open Window" Vera has just finished making up a long, elaborate ghost story to scare Frampton, her aunt's visitor - she knows that her uncles will soon be coming home, so she pretends that they have died and their ghosts haunt the house. So of course, when they come home Frampton thinks they are ghosts and runs away screaming.
Vera then explains his sudden departure by telling her realtives that Frampton had run away from her uncle's spanie; because he has a "horror of dogs" due to a terrible experience in india. She only has a few seconds in which to make up this second story, so it's clear that she excels in "Romance at short notice."
In "The Open Window" Vera has just finished making up a long, elaborate ghost story to scare Frampton, her aunt's visitor - she knows that her uncles will soon be coming home, so she pretends that they have died and their ghosts haunt the house. So of course, when they come home Frampton thinks they are ghosts and runs away screaming.
Vera then explains his sudden departure by telling her realtives that Frampton had run away from her uncle's spanie; because he has a "horror of dogs" due to a terrible experience in india. She only has a few seconds in which to make up this second story, so it's clear that she excels in "Romance at short notice."
