Police question Lori Vallow, Chad Daybell about kids’ whereabouts: Part 7

In Idaho, police spoke to Lori Vallow, her brother Alex Cox and Chad Daybell. The next day, Vallow and Daybell fled back to Hawaii.
7:29 | 02/27/21

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Transcript for Police question Lori Vallow, Chad Daybell about kids’ whereabouts: Part 7
Chad are on the beach getting married. But police are methodically uncovering evidence, evidence that suggests foul play. And it all ties back to the newlyweds and Lori's brother, Alex. Evidence like that ring on Lori's finger. You see, the receipt from Amazon shows that it was purchased before Chad daybell's wife Tammy's death. After the wedding, the couple returns to rexburg, Idaho. But the honeymoon is officially over the moment detectives show up to conduct that welfare check requested by the grandparents. And that's when things really started getting weird. Detectives speak to Lori's brother Alex and Chad. According to police, even though Chad had just married Lori, he acted like he didn't know her very well. I asked Mr. Daybell for Lori Vallow's phone number, and he stated he didn't have it. I found it suspicious because I knew that they were married two weeks prior to my contact with Mr. Daybell. Brother Alex says J.J. Is fine and with grandparents in Louisiana. Of course, that is a lie. I told Mr. Cox that was unlikely because Kay was the one who originally called in the welfare check. This shell game being played by Lori, Chad, and Alex is designed to distract and deceive. And to a certain extent, it's actually effective, because as the clock keeps on ticking and time goes on, it's less and less likely that these children are ever going to be seen again. Rexburg police eventually catch up with Lori at her townhouse. And when she's talking with them, she allegedly lies. Telling them that J.J. Is with her friend Melanie Gibb, when in actuality, Melanie Gibb has no idea where J.J. Is. According to rexburg police, once they leave, Lori doubles back and calls Melanie Gibb and she tells her hey, rexburg police is about to call you. I need you to tell them that J.J. Is with you. This really confuses Melanie. She's put on the spot. Melanie does tell police J.J. Was never with her. With police closing in Chad and Lori take off the very next day, and they head back to Hawaii. Alex, on the other hand, goes in a completely different direction. He decides now would be a great time to attend a wedding, his own. He picks up his girlfriend, Zulema, and they head off together to Las Vegas. I am Sebastian Salas. I am the owner of a chapel of love. I have personally officiated over 100,000 weddings, and I booked the wedding of Alex cox and Zulema pastenes. Zulema is a spiritual woman and life coach who claims that her clients will learn that there's a divine power working magic in their lives. Zulema was the one that coordinated and paid for everything. It was all Zulema. At the chapel, Alex demonstrates a little bit of magic himself, making his last name disappear and taking on the last name of his new bride. Alex took Zulema's last name. It was -- it was pretty funny. I'm not going the lie. I have never seen that. That was the first time I'd ever seen a groom take the bride's last name. This is an amateurish attempt by this guy to get the police off his trail, essentially. He's adopting the name of somebody else because it's going to be tougher for the police to track him down. So in his mind, what he's doing is he is erasing his tracks. This ceremony was about as romantic as a trip to the DMV. The ceremony lasted about three and a half minutes. Alex was quiet. Wasn't very involved in the process. And Alex wasn't too eager to add anything on to his package, like flowers for his bride or even have a picture taken of his wedding. They just wanted a simple, short and sweet, get married, and be out of here. The couple returns to Arizona where the newly minted Alex pastenes begins his new life. Meanwhile, Chad and Lori are secluded in Hawaii when they get a call from their friend Melanie Gibb. Now, Melanie has questions, and Melanie wants answers. So, she comes up with this idea to call Lori and record her and get her to admit she asked Melanie Gibb to lie. The audio from that phone call is later released by authorities. Hello, sweet Melanie. Hi, Chad. Hey, Lori. Melanie's a little awkward. She doesn't know how to confront Lori, but she says, hey, I want to talk to you about what you asked me to do the other day. I want to talk to you about that lie. I was wondering why you told the police why he was with me. I just needed to use -- talk somebody, so I wouldn't have to tell them where he really was if they were going to tell Kay where he is. Is J.J. Safe? He is safe and happy. In the phone call, you get a little bit of insight into Lori's world. You're either for her or you're against her. And once Melanie Gibb starts questioning Lori, Lori puts her sort of in this category, you're against me. Never had any idea that you would be the person of all people to drag me. I cannot believe it. I'm asking questions and I am concerned for you. That is what somebody does when they care. You don't sound like you're concerned. You sound like you're accusatory. You do not sound concerned. You sound pissed off. Rexburg police at this point take a trip down to Utah to this cemetery where they're going to exhume the body of Tammy daybell. They're in the process of re-examining everyone and everything with a connection to Chad. It was kept quiet. It wasn't a media circus. It was very quiet. Our crews here at the cemetery were here at 6:00, 6:30 in the there were no onlookers with the exception of a dozen people from the attorney's office, rexburg police department, several people from the coroner's office. Everything was photographed. And believe it or not, Tammy was back and buried within six or seven hours that same day. It's interesting that Tammy used to sell cemetery plots out here and keep the records of the cemetery. And now we're here doing an interview. It's kind of mind boggling if you really want to think about it a little bit. One day after the exhumation, there's a 911 call and once again it involves Alex cox. 911, where is your emergency. I have on older male here named Alex. I think he's passed out. It's really bad. Come upstairs in the bathroom.

This transcript has been automatically generated and may not be 100% accurate.

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