There are some interesting theories out there on what Gene Wolfe's "The Ziggurat" short story means. Indeed, Wolfe is heavily analyzed as an author. The theories involve spoilers, so be alert if you want to experience the story for yourself.
It's anywhere from a madness allegory to a more straightforward but disappointing ending. In the story, the protagonist (Emery Bainbridge) is going to be visited in his cabin by his ex-wife, and he expects it to be unpleasant. But he is also visited by people who rob him, but don't act like normal thieves. They steal his gun and his wife's car, briefly kidnap one of his twin girls, and kill his son. But through all this they seem to be trying to survive, not necessarily kill for the fun of it.
Most of the story is centered on Bainbridge, and his wife Jan. Wolfe is a masterful writer, bringing out the characters' personality while leaving motives mysterious. Bainbridge is a strangely detached man, ruminating on the violence of the women robbers (he works this out) while planning what to do about them. He deduces that they have arrived in some sort of a spaceship, shaped like a ziggurat and landed in a nearby lake. At last he confronts them as they hide in his cabin, kills one and wounds the other. He assists the survivor and plans to live with her, concocting a story for the police about how they were both wounded by his own gun by accident.
It seems an unworthy ending for Wolfe, so the link above leads to others. "Maximum Delusion" runs the theory that the whole story is Bainbridge's delusion, papering over having killed his twin daughters.
I tend to believe the "Flawed Hero Unhappy Ending", where Bainbridge may be trying to make the best of a bad situation but it's unlikely to go well. The story is too outlandish to fool the cops.
In any case, there's a conundrum here that good writers struggle with in creating aliens. Wolfe's humans are very human indeed. But his spaceship humans (and humans they are--time travelers) can't speak, so end up very light sketches. It's a puzzling story, but in the end I vote for just a little disappointing, not full-on mad. 2 stars.