Millhauser's short stories fall in to two types: the dreamlike more poetic stories focused on individuals and often written in the first person and the more formal almost objective accounts of subtle alternative history. The stories often start out in an apparently normal mundane world before moving into the magical alternative realities, drawing the reader with them.
There are certain themes that run through the stories. His characters seem to be trying to escape the world, flying above it on a carpet or balloon, going underground into the tunnels under a town or into a theme parks. In a way this is paralled by our experience as readers. Indeed the theme of art/artifice gradually becoming larger, perhaps better than life but at the same time becoming disturbing appears in several of the stories. Other stories deal with adolescence as magical/dreamlike, alien to the adult world.
My favourite story was The Sisterhood of the Night in which the adults are worried by what they perceive as a secret society of teenage girls, who gather at night but seem to say and do nothing. At first one is fascinated by what the girls are up to, but after a while one suddenly realises that the action in the story is in the increasingly paranoid reactions of the adults. How easily it could slip into a witchhunt. We too have been guilty of speculating.
I am in awe at Steven Millhauser's stylistic mastery. He uses the first person point of view with great ease, even though he has little time in a short story to establish the voice. His descriptions are wonderful: poetic at times, exact at others. I particularly admire the subtle way he shifts the ground under the reader until suddenly, just like the audience in the title story, you are no longer sure what you are seeing.