In general all the stories I've written (the two or three of them :p) start with the same context: there's a single, alone character, who is placed at a setting or circumstance that they know well but that is expanding into something unknown or unannounced. The setting or circumstance could be something discrete and defined, like a room in a hotel or a road to a town, or something abstract and fuzzy, like the beginning of a raid; but the character is always conceptually alone and that allows me to describe the expanding "setting" in terms of their perception of the changes.
I'd say it's... not exactly a good way to work with short stories though, as it is kinda hard to set up and only works well when the beginning is a In Media Res kind of thing. If I had to start short (very short) stories in a particular way, I'd probably choose something like the finishing of an exchange / interaction that justifies or explains the plot of the story (Star Wars IV shows more or less how it's done).