This is a rush transcript from "On the Record ," July 21, 2008. This copy may not be in its final form and may be updated.

GRETA VAN SUSTEREN, FOX NEWS HOST: Tonight: Where is Caylee Anthony? Two- year-old Caylee Anthony is missing. Now, but here's the strange catch. The baby's grandmother says the baby's mother knows who has the little girl. She vanished more than a month ago. And earlier, the mother's lawyer defended his client.

(BEGIN VIDEO CLIP)

JOSE BAEZ, ATTORNEY FOR CASEY ANTHONY: I'd like to make it clear that my client, Casey Anthony, at no time refused to speak with law enforcement. A lot has been misreported that she's not cooperating and that I am in some way standing in her way.

I'd like to bring everybody -- direct everybody's attention to the arrest report, which clearly states that the police were called out on the 15th of this month and she spoke with them immediately on that day. And then on the following day, practically the entire day she spent with law enforcement. It's only upon being arrested and my being retained that she invoked her right to counsel, as I think anyone would do in this country. We are focused on trying to find Caylee.

(END VIDEO CLIP)

VAN SUSTEREN: Joining us live is Cynthia Anthony, grandmother of missing 2-year-old Caylee Anthony. Welcome, Cynthia.

CYNTHIA ANTHONY, GRANDMOTHER OF MISSING CHILD: Hi.

VAN SUSTEREN: Cynthia ...

ANTHONY: Forgive me. I'm running on, like, very little, little sleep. So you know, be gentle with me tonight, OK?

VAN SUSTEREN: All right, I will, indeed. You know, without any doubt, I know that you love your granddaughter very much, and I know you've been going around the clock doing interviews to help find her.

ANTHONY: Today, it's been non-stop. I mean, every day, I've been putting more and more hours in, and today I've been going non-stop. I had less than 45 minutes sleep in the last 48 hours. And before that, I probably had less than eight hours in the last week. So you know, I'm getting my strength from Caylee, and as long as I can continue to talk about her, you know, I can stay focused. But when people, you know, want me to answer questions I can't answer, then I'm losing strength. And if I lose strength, then I can't give tips to people.

Watch Greta's interview

On my way here, the limo ride -- if you would let me elaborate a little bit, I think your followers will really appreciate this, and this is why I'm here. I haven't been able to answer my phone for several hours. So in the limo ride here, I was able to do some voice-mails, and my very first voice-mail was a lead in Dallas because this couple was out at the pool two days ago, and they were admiring this little girl, this beautiful little girl. And you know, she -- you know, just something about it, they started talking to her. And her name and her age is identical to Caylee.

And today for the first time, when they saw me on whatever show -- I can't even remember what they said -- they realized that Caylee was a missing child. Had they known two days ago -- you know, two days ago, if people, you know, in the national news would have just focused on what I wanted to focus (INAUDIBLE) then Caylee might have been home with me two days ago.

So please, you know, let the attorneys talk about and the detectives talk about what's going on with Casey. Let me talk about why we need to bring Caylee home and why we need to focus on that because if I run out of steam, we're going to not -- we're going to lose Caylee. And I can't afford that.

And you know, just search inside yourself, you know, before you ask me a stupid question that I can't answer, please. You know, the only strength I have left is to find my granddaughter, and the only way we're going to do that is if the media focuses on getting her picture out there and telling everybody that doesn't know that she's missing, that she's missing. You have 50 other people you can interview about questions, you know? I don't even know what I'm thinking anymore, except my total focus, my entire strength is just to talk about this child.

VAN SUSTEREN: I hope you'll excuse -- I did laugh for a second when you said, you know, to ask stupid questions. I laughed at myself. I do hope that I don't ask the stupid questions of you. I would like to sort of orient the audience a little bit to the facts because you're living and breathing them, but a lot of the audience might not remember that the last anyone has known where your granddaughter was, was June 9. Or at least, that's the last time you saw her, is that right?

ANTHONY: Well, you know what? Right now, we're not even sure of the timeline. Just before I came here, I thought I might get an hour's sleep, but that was the time the opportunity that the deputies came to the house. So we're talking. And everybody's timeline seems like it's almost a week off. So you know, I don't know.

VAN SUSTEREN: Well, let me ask you this...

ANTHONY: I can't elaborate on that right now. I can't. I don't have the strength and I don't have the energy to answer these questions.

VAN SUSTEREN: All right. I've got that one.

ANTHONY: So I'm going to pass on that one.

VAN SUSTEREN: All right, so take a pass on that one. So I'm trying to sort of probe and pick your brain, try to get information out there in case anybody...

ANTHONY: That's not (INAUDIBLE)

VAN SUSTEREN: ... Knows anything can -- you know, can help. One of the things that has been reported -- you can correct me if this is wrong, but one of the things that's been reported is that I think you said that your daughter knows where her daughter is.

ANTHONY: No.

VAN SUSTEREN: That's obviously a very important point. Is that wrong?

ANTHONY: OK. Yes, that's a very important point. I at no time ever said I know that Casey knows where Caylee is. What I've stated is Casey knows who she handed her to, to baby-sit her for four hours, the same person that she's trusted her for, for the last year-and-a-half, trusted her as a friend for much longer than that. Casey doesn't know where Caylee's at today, and I believe in my heart, if she did, she would tell us .

VAN SUSTEREN: Have you -- I mean, obviously, the police are suspicious of your daughter's statement about the baby-sitter. So let me ask you. Have you ever seen or met that baby-sitter? Are you able to even corroborate her existence?

ANTHONY: You know what? I have to because I trust my daughter.

VAN SUSTEREN: But you've never -- and I believe that you love your daughter...

ANTHONY: I've never seen her.

VAN SUSTEREN: I believe that ...

(CROSSTALK)

ANTHONY: I've never seen God, but I know he's there, OK? I mean...

VAN SUSTEREN: OK.

ANTHONY: ... That's the only thing I can say.

VAN SUSTEREN: You have faith.

ANTHONY: I have faith.

VAN SUSTEREN: Did your daughter ever talk about her before your granddaughter disappeared?

ANTHONY: Yes, and the police are aware of that. And this person, whether her name is Zani (ph) or whatever, she's been part of conversation, normal conversation, for the last three years prior to Caylee's birth. So I don't think this is somebody that's been fabricated in the last, you know, week or two to cover up tracks that -- So again, I don't have the strength and energy to think about this or focus on that.

VAN SUSTEREN: Then let me switch gears for a second because I -- I want to talk about...

ANTHONY: Thank you.

VAN SUSTEREN: ... I mean, because trying to sort of sort through in the facts -- one of the other things that I read is that your daughter right now is being held in a cell with only a blanket, she doesn't even have her, you know, I think underwear. Is that right or not?

ANTHONY: That's what I was told.

VAN SUSTEREN: OK. The reason why that's sort of an alarm to me is that's usually what happens when people think that you're in a jail facility you're going to be a danger to yourself, that you have problems. Does your daughter have problems because that -- I mean, not always, but sometimes that's -- you know, that's sort of a sign to -- you know, to those that are familiar with jails.

ANTHONY: I don't know any 22-year-old that doesn't have a problem, and...

(CROSSTALK)

VAN SUSTEREN: You know what I mean. You know what I mean.

ANTHONY: No, I don't know what you mean.

(CROSSTALK)

ANTHONY: Greta, I'm not in your head. I don't know what you mean.

VAN SUSTEREN: Do you think she's...

ANTHONY: Greta, I don't know what you mean.

VAN SUSTEREN: So outside of this, I mean, has she been a mentally stable person, in your view?

ANTHONY: Casey's never been a mentally unstable person.

VAN SUSTEREN: OK.

ANTHONY: She's never had -- been diagnosed with anything. I say she -- you know, I have depression right now. Am I mentally unstable?

VAN SUSTEREN: I know -- I realize this is stressful. I'm just sort of trying to -- you know, I'm trying to sort out, you know, what (INAUDIBLE) the facts and what's not. All right. Let me ask you this. Does your granddaughter have any distinguishing characteristic...

ANTHONY: Absolutely.

VAN SUSTEREN: ... So that in case anyone -- what -- is there any -- tell me, does she have any imperfections, for instance, on her skin or anything?

ANTHONY: Right. And...

VAN SUSTEREN: Because that helps people.

ANTHONY: Yes, ma'am. It's listed on her fliers. It's listed on her pages that you see. She has a little birthmark. It's just a fine little line, but it's -- you know, when you see it, you've never seen anything like -- I mean, it's unique. It's right here on her left shoulder.

VAN SUSTEREN: Left arm, left shoulder?

ANTHONY: Yes. And it's listed on all of the fliers. Her most unique thing is those eyes. She's got the most beautiful eyes. And you will know that child because she just melts you. I mean, there's something about Caylee, you know?

VAN SUSTEREN: Have you put the question to your daughter -- when you first called the police and said she was missing, did you put the question to your daughter, just real straight up, mother to daughter, Where is Caylee?

ANTHONY: Let me -- let me correct that statement. Casey did not say that she was kidnapped until after -- and this is a fact -- until after we called the police. And Casey told me she was relieved that I'm the one that called the police and not her because Casey...

VAN SUSTEREN: But when she was -- when you knew she wasn't around, your granddaughter, did you look your daughter in the eyes and say, What happened, or, Where is she?

ANTHONY: Well, I actually only had about an hour to look my daughter in the eye and ask the question where was Caylee. Casey had spoken with me for the last month. And again, I'm really losing steam, and if you want me to collapse in your studio so that you'll have sensationalism, I'm really close. So the last little ounce of my breath is, please, everybody just look for Caylee, look at the pictures because I can't answer any more questions. Just keep flashing these pictures, the media.

The Orlando area gets what I'm about. My sole purpose is to put the word about Caylee. We'll have plenty of time to do interviews and answer the questions of why Casey's -- you know, what she did, what she did and why she's holding back.

VAN SUSTEREN: Do you understand, Cynthia, that it wasn't my desire to give you a hard time?

ANTHONY: Oh, honey, I know that. It's not. But my heart is aching right now, and I don't have...

VAN SUSTEREN: I got it. I understand that.

(CROSSTALK)

ANTHONY: ... Pain right now. It's probably from no food, lack of sleep, and just sheer exhaustion, but also because my heart is broken. So just help me get out the word, sweetie. I know you know in your heart and just -- you know, I know you've got to do a job, too, but your job can take another turn tonight, and maybe for the first time, you might get some actual...

VAN SUSTEREN: Well, why don't we strike a deal. Let's...

ANTHONY: ... self-gratification from that.

VAN SUSTEREN: Let you and I strike a deal. I'll say good night to you. We put her picture up, and maybe you and I can talk tomorrow or something. But I know you're tired, so...

ANTHONY: I've got a full day tomorrow, dear. I've got a full day. I can't make any promises.

VAN SUSTEREN: Well, whatever. I understand that.

ANTHONY: I'll give you another interview, and I'll definitely have some more sleep for it, OK?

VAN SUSTEREN: All right. I hope you get some rest. Thank you, Cynthia, and good luck.

ANTHONY: Thank you. Bye.

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