"We will never know, and sometimes I think it's better that we don't know," she said. "I just don't think we could handle it. I knew I couldn't handle going out to see her broken body laying on the floor after she jumped. I couldn't handle that. She was a beautiful gal."
Graham said that her sister had no history of psychological problems, but was $12,000 in debt to Ray.
Grant had some thoughts on how things could go so horribly wrong. Grant said that the techniques Ray employed during the session pushed him to discover "some things about myself that I didn't like."
"You can leave these with a sense of, if you're not doing everything James is talking about, and you're not going full gusto, and you're doing your critical six steps, and you're just go go go, that, 'oh, I'm just a big failure,'" Grant said.
Ray's company, James Ray International Inc., released a statement to ABC News that said, "There is no evidence whatsoever that Mr. Ray or JRI contributed to or could have prevented Ms. Conaway's tragic suicide."
But even after Conaway went missing, while staffers looked for her, the event carried on into the evening, where participants like Grant partied and put on skits.
"James was cracking up. A lot of the skits were making fun of him, always trying to sell you something, and upsell you. He was taking shots and laughing right along. It was a really fun night. There was no sense of anything being wrong," Grant said.
"It made me sad. She was laying in, you know, in a cooler...nobody even identified her for eight hours," Graham said. "I thought it was sad. There's no other way to say it, it was awfully sad. Sad for Colleen. Sad for us."
Back in Minnesota, Conaway's parents Marion and Art were called in the middle of the night by the medical examiner with news that their daughter had killed herself.
"You're just numb. You have no feeling. You're just numb, you can't believe it," Marion recalled.
At the conference in San Diego, the following day, Martin said she was confronted by Ray after she started asking questions to senior staffers about Conaway's whereabouts. She claims that Ray told her Conaway was fine and had "decided not to return to the event."
Neither Ray nor his staff announced Conaway's death to the other attendees of the conference; everyone attended a black tie party, where they cut loose seemingly without a care.
Conaway's family blames James Ray International Inc., for not monitoring people during the outing at the mall. They say that if the company had learned the lessons of Conaway's death, more tragedy could have been prevented.
"Then we find out a month later that three people died in that sweat lodge under the same James Ray International?" Marion said. "That's when you start wondering, why aren't those people being monitored? Why are they pushing them so hard? And what's that got to do with Harmonic Wealth?"
Months after the sweat lodge, some are now calling for more oversight of the lucrative self-help industry. "I just don't want anybody else hurt. I don't want anybody else dying because they go to a seminar that they believe is for their well-being or their betterment. We've got too many families hurting already," Marion said.
"We would have never, ever thought this would have happened to her from attending a motivational speaker or a self-help guru. ... It makes no sense to us," Graham said