This is one that requires a bit of an intro. I pasted below the explication offered by Change Before Going Productions, the awesome YouTube channel that hosts a number of early milestones in film online:
Shooting Captured Insurgents is a hyper-realistic re-enactment filmed during the Spanish-American War, and having the purpose of bolstering sympathy for the Cuban rebels (and antagonism towards the Spanish). The United States had previously entered the conflict in early 1898 after the sinking of the USS Maine battleship in Havana harbor left 258 of the ship’s crew dead.
In the film, Spanish freedom fighters are led in front of a Spanish firing squad and then executed. The movie would play with no explanation that the footage shown was not real i.e. staged, leaving the audience to believe they had just witnessed actual deaths.