On May 18, 1926, McPherson went to Ocean Park Beach, California, north of Venice Beach with her secretary, to go swimming. Soon after arrival, McPherson disappeared.
It was generally assumed at the time that she had drowned; mourners crowded Venice Beach, and the commotion sparked a days-long media coverage of the event, fueled in part by William Randolph Hearst's Los Angeles Examiner, and even including a poem by Upton Sinclair commemorating the "tragedy." Daily updates appeared in newspapers across the country; parishioners held day-and-night seaside vigils. A futile search for the body resulted in one parishioner drowning and another diver dying from exposure.
At about the same time, Kenneth G. Ormiston, engineer for KFSG, also disappeared. The two incidents were seen as unrelated.
About a month after the disappearance, McPherson's mother, Minnie Kennedy, received a ransom note, signed by "The Avengers", which demanded a half million dollars to ensure kidnappers would not sell McPherson into "white slavery". Kennedy later said she tossed the letter away, believing her daughter to be dead.
After 35 days (on June 23), McPherson stumbled out of the desert in Agua Prieta, a Mexican town just across the border from Douglas, Arizona. She claimed that she had been kidnapped, drugged, tortured, and held for ransom in a shack in Mexico, then had escaped and walked through the desert for about 13 hours to freedom.
Several problems were found with McPherson's story. Her shoes showed no evidence of a 13-hour walk; indeed, they had grass stains on them after a supposed walk through the desert. The shack could not be found. McPherson showed up fully dressed while having disappeared wearing a bathing suit, and was wearing a watch given to her by her mother, which she had not taken on her swimming trip.
A grand jury convened on July 8 to investigate the matter, but adjourned 12 days later citing lack of evidence to proceed. However, several witnesses then came forward stating that they had seen McPherson and Ormiston at various hotels over the 32-day period.
The grand jury re-convened on August 3 and received further testimony, corroborated by documents from hotels in McPherson's handwriting. McPherson steadfastly stuck to her story that she was approached by a young couple at the beach who had asked her to come over and pray for their sick child, and that she was then shoved into a car and drugged with chloroform. However, when she was not forthcoming with answers regarding her relationship with Ormiston (who was recently estranged from his wife), Judge Samuel Blake charged McPherson and her mother with obstruction of justice on November 3.
Theories and innuendo abounded: she had run off with a lover; she had had an abortion; she was recovering from plastic surgery; she had staged the whole thing as a publicity stunt. No satisfactory answer, though, was ever reached, and soon after the Examiner erroneously reported that Los Angeles district attorney Asa Keyes had dropped all charges, Keyes decided to do exactly that on January 10, 1927, citing lack of evidence.