Upon moshe the beadles return what story did moshe tell?

Upon his return, he tells a story in which the train he was traveling was taken control by Gestapo while crossing Poland. In his story the Jews were taken into a forest, made to dig a pit, take positions in it, only to be shot dead. Moshe was also shot but was mistaken to be dead. Nobody believed him as they were certain that he was swindling with his imagination.

Explanation:

And also, the Sighet inhabitant Jews were strongly believing in a better tomorrow.

Moshe believed that he was doing the right thing by returning to Sighet to warn people about the upcoming dangers (which he believed were from the Nazis).