Family of woman who disappeared in Spain baffled

This is a rush transcript from "On the Record," June 30, 2015. This copy may not be in its final form and may be updated.

GRETA VAN SUSTEREN: This is tough. Another American family nightmare. Vacation around the world going horribly wrong. An Arizona woman vanishing while hiking on a Catholic pilgrimage trail in Spain, known as Camino de Santiago. But now she is nowhere to be found.

GRN reporter, Martin Roberts, joins us from Madrid, Spain -- Martin?


VAN SUSTEREN: Martin, what's the story on this missing American woman?

MARTIN ROBERTS, GRN REPORTER: Well, it is a concern here. More so because the country depends very much on tourism. The police are treating this as an open case. Unfortunately, she has not been seen since April the 5th. And despite the fact that dozens of people turned up and looked for her, so far, there are no clues.

VAN SUSTEREN: Well, this is a very holy area. And people do pilgrimages along this trail. Have there been other women who have disappeared on this trail or other instances where somebody has falling off the trail? I don't know the -- I don't know what the trail is like. Has there been anyone harassed or kidnapped?

ROBERTS: Local news reports, and one of which I saw on television, concern a woman who went out jogging six miles away, she said that a man approaching in a car grabbed her. She managed to escape and hid behind some bushes and then called for help from her cell phone. Although police say that they are not treating those incidents as related.

VAN SUSTEREN: Martin, is this a densely walked area? I mean, are there a lot of people walking at any given time or, if you walk the trail, are you not going to see anybody for half an hour, an hour, two hours?

ROBERTS: Well, my understanding is that Denise stayed in hostel the night before she was seen and several other people were there. I also understand that some people walked the whole trail last year. That gives you an idea. It's far from being an isolated trail.

VAN SUSTEREN: Martin, thank you.

And Denise Thiem's family taking all the steps to find Denise and bring her home.

Her brother, Cedric Thiem, joins us.

I can only imagine what you and your family are going through. When was the last time that you had any contact with your sister?

CEDRIC THIEM, BROTHER OF DENISE: The last time I talked to her was April 1st.

VAN SUSTEREN: And that was, what, by telephone or was this email? What kind of communication was this?

THIEM: I believe we were like Skyping because we kind of communicated through Skype or emails or we also send messages. But there is always some kind of form of communication.

VAN SUSTEREN: Is she -- would she have any reason to sort of drop off the face of the earth to stop communicating with her family? Anything going on in her personal life?

THIEM: No. That's what's so strange, you know, she is just like starting a new chapter in her life, you know. And she was pretty excited about it. And when she was doing the Camino, she was like, you know, tell me how she wants to come back and she wants to, you know, hang out with the dogs again and be with us and let us be a part of, you know, her new, exciting life.

VAN SUSTEREN: And I should make mention that the two of you were living together, and you say dogs because she was very close to her pets.

Now, after you stopped hearing from her, on April 20th, is that when you went over to look for her?

THIEM: Yes. So I arrived in Madrid, April 20th. And I just --



VAN SUSTEREN: Did you go to the hostel where she had been staying?

THIEM: Not right away. Once I got off the plane, I went straight to the police and filed the report. And then I think there was a couple things later that I arrived in the Astorga.

VAN SUSTEREN: Did you learn anything usual, anything that would give you any hint where she might have happened to her, where she might be, when you got to Astorga?

THIEM: I didn't know what to think or what to believe. I just know that what whatever happened -- I was hoping she was physically injured. At least it would be something you could spot. But there is just like no signs of her. And I just think -- you know, I don't know what happened but I'm sure it's involuntary.

VAN SUSTEREN: Cedric, is the U.S. government, our State Department, helping you? And are you satisfied that they are doing everything they possibly can, because it's always terrible when a family member disappears anyway, but when it's a foreign country, makes it so much more difficult.

THIEM: Yeah. It's tough. I mean, like everybody tells me that, you know, they are doing all they can and everything. But I don't know any of the details. I'm not really -- I just don't know -- really don't know what's going on. But that's what is so frustrating. You know. Everybody is just saying the same thing and I'm kind of wondering, you know, what's going on.

VAN SUSTEREN: Well, Cedric, we are putting a spotlight on it. We are seen in a lot of places, a lot of countries. Hopefully, if anyone knows anything about your sister, Denise, they will call. And do let us know if we can do anything to help.

Thank you, Cedric.

THIEM: Thank you.