Short stories generally tend to belong to more artsy genres. By this I mean that's it's not at all uncommon to classify a short story as a fantasy/fairy tale/sci-fi/young adult/thriller hybrid.
For a novel, this would probably end up being confusing for the reader. But often for a short story, it makes perfect sense. Starting mid-action in order to lead up to a slightly twisted ending often requires pulling elements from multiple mainstream genres.
While fun to write and even more fun to read, the lack of clear genre makes it tricky to market to your target reader. Therefore, it's important to keep two things in mind:
1) Who is your target reader? Think about the personality type of the person shopping around and let that be your guide. For example, say your story is a bittersweet romance with supernatural elements. At first glance, this type of story could fall under "paranormal" and "romance." But is your story the type of plot those shoppers are looking for? Probably not. Romance shoppers are usually looking for a few steamy scenes and a happily ever after.
So you have to go outside the box. What type of reader would enjoy this short story you just crafted. Perhaps "fairy tale" would be more appropriate than "romance." Disney movies aside, those that have read the real Grimm fairy tales know that sometimes the ending isn't always happy. So if they came across your story, their expectations would be more in line with what you actually wrote.
Which leads us to...
2) As a short story writer you must become your own "genre." A perfect example would be Edgar Allan Poe. By just seeing his name you would know what type of short story experience you're in for. His name sells his work.
Given the fact that short stories sell so few copies compared to novels, you need to give that one reader that finds your work a lot of buying options and a lot of similar reading experiences. I don't mean write the same story over and over again. But do always keep in mind the things that make your stories unique. Do you have a twist at the end? Are your stories "thinkers"? Do you have trademark characters or humor? Use those features to your advantage.