The Thousand-and-Second Tale of Scheherazade

The tale depicts the eighth and final voyage of Sinbad the Sailor, along with the various mysteries Sinbad and his crew encounter; the anomalies are then described as footnotes to the story. While the King is uncertain - except in the case of the elephants carrying the world on the back of the turtle - that these mysteries are real, they are actual modern events that occurred in various places during, or before, Poe's lifetime.
The story ends with the king in such disgust at the outlandish tales Scheherazade has just woven, that he has her executed the next day.