What did the radio version of The War of the Worlds do to ensure that the

audience would understand it was fictional?

From what I recall, Orson Wells announced at the start that it was a Mercury Theater production and adaptation of HG Wells book, War of the Worlds, so people would know it's fictional. Unfortunately, it was mostly commercial free so you only had a few breaks in between where CBS announces that it is a Mercury Theater production, before returning to the program. I do believe they also listed it in the newspaper for radio programming that evening also.