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“Get up, Harvey,” Jones finally said. “Who’s here with you?”

Bailey said nothing.

“Harvey,” Jones went on, “if a head bobs up anywhere around here, or a shot is fired, I promise I’ll cut you in two with this machine gun.”

“I’m here alone,” Bailey said. “You have me.” Slowly he sat up and stretched. A weak smile crossed his face. “Hell,” he said. “A fella’s gotta sleep sometimes.”18

Agents poured into the Shannon house and its outbuildings, handcuffing the Shannon family. Kathryn’s mother, Ora Shannon, was fierce in her denials of wrongdoing. “Don’t you tell ’em nothing!” she snapped at her husband. It was no use. Gus Jones took the Shannons’ son Armon for what he called “a fatherly talk,” and the young man soon broke down and told him everything. It was the Kellys, he said—the Kellys and Albert Bates. And they were all long gone.

Harvey Bailey and the Shannons were taken to the Dallas jail, where Boss Shannon soon joined his son in a full confession. Hoping to catch the Kellys unaware, Jones managed to keep a lid on the story for almost seventy-two hours, but Monday night the news broke in the Dallas Times-Herald, and by the next morning it was all over the country. Most papers heralded Bailey as the mastermind behind the kidnapping, as well as the Kansas City Massacre. In fact, Bailey had nothing to do with the Urschel case. He had simply dropped by the Shannon Ranch, as he had done once or twice before at Kelly’s behest, because he needed a place to sleep.t It was a lucky arrest, but the FBI’s luck was overflowing that weekend. Saturday afternoon, just hours after the Shannon raid, police arrested Albert Bates in a downtown Denver parking lot.u Bates, however, gave no useful information on the Kellys, or on the whereabouts of his share of the ransom money.

Thanks to Ed Weatherford, the hunt for the Kellys got off to a fast start. For two weeks an agent had been noting return addresses on the Shannons’ incoming mail—addresses that only now did the FBI begin running down. Two letters had come from Kathryn, one sent from St. Paul on August 4 and a second mailed from Madison, Wisconsin, three days later, bearing a return address of General Delivery, Indianapolis. An agent was assigned to watch the Indianapolis post office, while a bulletin describing the Kellys’ car was dispatched nationwide.

The first scent of the Kellys’ trail came in Cleveland, where on Sunday, August 13, agents inquired about a bill found at the Shannon Ranch from a Cleveland Cadillac agency. A salesman told agents the Kellys had visited him just three days earlier, on August 10, to pay off the balance on the Cadillac they were driving and to inquire about purchasing a new one. But they left before buying a new car, saying they were driving to Chicago. Agents in Chicago and Cleveland descended on garages and airline offices in both cities.

The hunt for Machine Gun Kelly had begun.

Years later Kelly told his son of the wondrous few days he and Kathryn enjoyed following delivery of the ransom money. He said they had fled across the Mexican border to Chihuahua, where they spent ten days lying in bed and drinking tequila. Kelly described how he had learned of Bailey’s arrest on the radio in his Mexican hotel room.

Kelly’s story, like so many he told, was pure fantasy, probably concocted to impress his son. In fact, after releasing Urschel outside of Oklahoma City on July 31, the Kellys drove north to St. Paul, where they rented an apartment and began looking up underworld contacts to launder the ransom money. Harry Sawyer’s partner, a casino owner named Jack Peifer, took $7,000 of it, charging Kelly 20 percent. Peifer, in turn, parceled out the money to a half-dozen runners to exchange the cash through area banks. Kelly took the proceeds and bought Kathryn a fur coat and jewelry, paying $1,150 for a bracelet of 234 tiny diamonds and $850 for a ring set with eight round diamonds.

From St. Paul the Kellys drove to Cleveland, where they were staying when they heard the news that the FBI had arrested several of Peifer’s confederates. They