This is a rush transcript from "On the Record ," June 18, 2007. This copy may not be in its final form and may be updated.

GRETA VAN SUSTEREN, HOST: Look closely: This is Jessie Davis, 9 months pregnant, missing, last known adult contact, her mother, by phone, Wednesday night at 9:20 PM. Less than 11 hours later, Thursday, 8:15 AM, a text message sent to Jessie. Jessie did not answer. Twenty-four hours later, Friday morning, Jessie's mother went to her home. Jessie was not there. And this will alarm you. Her 2-year-old toddler was there alone. Jessie's mother immediately called 911.

(BEGIN AUDIO CLIP)

911 OPERATOR: Hello?

PATTY PORTER, MISSING WOMAN'S MOTHER: Yes?

911 OPERATOR: Can I help you?

PORTER: Yes, we need — we need help at 8686 Essex!

911 OPERATOR: 8686 what street?

PORTER: Essex.

911 OPERATOR: What's the problem?

PORTER: My daughter's gone. She's due in two weeks. And my grandson's here alone, and this whole house has been ransacked.

911 OPERATOR: How old is your...

PORTER: My grandson's 2.

911 OPERATOR: And he's gone?

PORTER: He's here alone!

911 OPERATOR: OK, you need to calm down so I can understand you.

PORTER: I'm trying!

911 OPERATOR: OK.

PORTER: He's here alone, and she's gone. Her car's here.

911 OPERATOR: Who's gone?

PORTER: My daughter!

911 OPERATOR: OK. How old is she?

PORTER: She's 27 years old.

911 OPERATOR: OK. And how old is the child that was left alone?

PORTER: She didn't leave him alone! My God, something's wrong! She's due in two weeks, and she's just missing! Her car's here, her purse. Her house is trashed, and she's not here!

911 OPERATOR: OK. What's your name, ma'am?

PORTER: My name is Patty Porter.

911 OPERATOR: Patty what?

PORTER: Porter! (INAUDIBLE) just get somebody here!

(END AUDIO CLIP)

VAN SUSTEREN: Jessie's mother, Patty Porter, and Jessie's sister, Whitney Davis, join us live from Ohio. Patty, is there any update in the last couple hours in the search for your daughter?

PORTER: No. We've had no update.

VAN SUSTEREN: Whitney, let's go back to Wednesday night. I know that she spoke to your mother Wednesday night about 9:20. But when was the last time you spoke to your sister?

WHITNEY DAVIS, MISSING WOMAN'S SISTER: The last time that I spoke with Jessie was Wednesday afternoon. She called me from work. I was at work, as well. You know, we just talked about the baby. We talked about Blake (ph). Nothing out of the ordinary. She didn't sound concerned or worried or anything, happy and very excited about Chloe.

VAN SUSTEREN: Patty, about 9:20, you spoke to her. Was she talking to you on a cell phone?

PORTER: She was on her cell phone. I was on my home phone.

VAN SUSTEREN: Did you know that she was home when she talked to you?

PORTER: Yes.

VAN SUSTEREN: Any particular reason for that call or anything out of the ordinary?

PORTER: No. We talked probably on the average of five or six times a day with Jessie. And she had picked Blake up at our house, you know, earlier, after she got off of work. And then we always talked after dinner, and then she always called us before she went to bed.

VAN SUSTEREN: Did she tell you that she was going to go to bed, Patty? Was that the plan sort of when she hung up?

VAN SUSTEREN: Not right then.

VAN SUSTEREN: What did she say to you about how she intended to spend the rest of the evening?

PORTER: I really can't comment on that.

VAN SUSTEREN: Is it that you don't remember, or that because the investigation that you don't want to talk — that you can't talk about it?

PORTER: It's the investigation. I don't want to talk about that.

VAN SUSTEREN: OK. Whitney, when is your sister's baby due?

DAVIS: The baby, Chloe, is due July 3.

VAN SUSTEREN: Do you know the baby's father, Whitney?

DAVIS: I'm sorry?

VAN SUSTEREN: Do you know the baby's father?

DAVIS: Yes. Yes, I do.

VAN SUSTEREN: And is that the police officer? Is that correct?

DAVIS: Yes.

VAN SUSTEREN: And as far as you know, has he been cooperative, Whitney, talking to the police?

DAVIS: Yes. The police — everyone so far has been cooperative with the police.

VAN SUSTEREN: Patty, on Thursday, I know that your daughter received a text message from work. Where does she work?

PORTER: She works at All-State Insurance.

VAN SUSTEREN: Any problems at work at all?

PORTER: No. She was very close with the girl she worked with, and they just wondered where she was. She didn't show up for work.

VAN SUSTEREN: Did either one of you try to reach her on Thursday?

PORTER: Yes. My other daughter, who usually baby-sits Blake, tried to reach her numerous times. And then I tried twice Thursday evening, but I just kind of thought maybe she was really tired and she went to bed.

VAN SUSTEREN: Whitney, any idea what your sister might have been wearing on late Wednesday afternoon or Wednesday evening before — even before her conversation with her mother?

DAVIS: At first, we had no idea. I was able to go into her home last night. I — you know, I used to live with Jessie. I moved out in October. But you know, we're girls. We go through each other's stuff. I know everything that she had. The clothes that she had on — the clothes that I could not find in the house, they're pink thin cotton cropped pants. They're drawstring. And then the top is a thin — is one of those long white tank tops that has spaghetti straps. And it has writing that says, Ooh la la, all over it. And it matches — the color of the writing matches the pants. They're part of the Victoria's Secret pink line. I bought the clothes for her when I was here a few weeks ago. My grandfather passed away. We were here for the funeral. And those are the clothes that I bought for her. And those are the only things that I was unable to find in the house, and I searched through all of her clothing.

VAN SUSTEREN: Patty, then the horrifying discovery that you had on Friday. You went to the home. Was the home locked when you got there?

PORTER: The front door was locked. My daughter and I both went — my other daughter, Audrey (ph), and I both went. She went to the front door and I went to the back. The sliding door was open and the glass sliding door was shut, but it wasn't locked. So I just opened it up and walked in.

VAN SUSTEREN: And what — you discovered your grandson, who is about — is he 2 years old, is that correct, Patty?

PORTER: He's 2-and-a-half.

VAN SUSTEREN: Where was he when you saw him?

PORTER: When I went in, I saw her purse was emptied on the floor. And then he came — he was upstairs. He came downstairs, and he — I said, Blakey, Blakey, where's Mommy? And he said, Mommy's crying, and, Mommy broke the table. I ran upstairs, and that's when I saw the bedroom.

VAN SUSTEREN: At some point, did he mention something about a rug, Patty?

PORTER: Yes. He said, Mommy's — he said, Mommy's in the rug. And I instantly — I never even gave it a second thought. I knew exactly what he meant. He meant the comforter, but he didn't have the words for comforter. And the comforter is — the coloring is identical to my oriental rug.

VAN SUSTEREN: Patty, now, I know that this investigation, and I don't want a name, but was your grandson able to provide you with a name of who was there, the last person he saw there at the house with his mother?

PORTER: No. No, he wasn't. And we have not questioned him. We've been advised, you know, not to prod him but to just allow him to talk when he feels free. He spends most of his day playing, and you know, trying to do what we can to keep him occupied. But we do not question him.

VAN SUSTEREN: All right. Well, we have put up on the screen, just so you know, pictures of Jessie in case anybody recognizes or has seen anything. Patty, Whitney, thank you. And of course, we're hopeful that we can get some good news quickly. Thank you.

PORTER: Thank you so much.

DAVIS: Thank you.

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