Missing kids & a cult: The unfolding mystery that sounds like it's ripped from a movie script.

Feature image: Rexburg Police Department.

Seven-year-old Joshua “JJ” Vallow and 17-year-old Tylee Ryan haven’t been seen since September.

Their mother and step-father are refusing to cooperate with Idaho authorities and police think their lives are in grave danger.

Lori Vallow and her new husband, Chad Daybell, keep lying to police, and bizarrely the couple have even allegedly denied the kids’ existence as the story of the missing children captivates America.

In a baffling convoluted series of events that includes a suspected cult, an obsession with doomsday, and three deaths close to the couple, a desperate hunt is on to locate Lori’s kids.

A strange series of events.

In July 2019, Lori Vallow's estranged husband, Charles Vallow, was shot and killed in Phoenix by her brother.

Alex Cox (the brother) claimed it was in self defence, but died himself in December from unknown causes, reports the New York Times. He'd only just gotten married in Las Vegas shortly before his death.

But it wasn't the only strange death linked to Lori.

In August, after the mother-of-two moved her family to Idaho, her future husband's then wife, Tammy Daybell, died of "natural causes," according to her obituary.

Two weeks after her death, Chad Daybell, Tammy's husband, married Lori sparking authorities' suspicions. By this point, the kids had been missing six weeks.

They exhumed Tammy's and Alex's remains - the results of which are yet to be released publicly.

Inside the lives of Lori and Chad.

Lori Vallow and her ex-husband Charles had been married for 13 years before their divorce. They'd adopted JJ together, and Tylee is Lori's daughter from a previous husband.

Her eldest child Colby Ryan, who is in his 20s, says he is "done" with his mother. His desperation matches that of a lot of the family who just want to know where JJ and Tylee are.

"I've been done the day that I saw them without the kids walking around Hawaii,” he told Fox10 Phoenix.

WATCH: Colby Ryan’s plea to his mother. Post continues after video.

Two months after the kids were last seen on September 23, police turned up to Lori and Chad's house in Rexburg, Idaho, to perform a wellness check as requested by JJ's extended family. In the time that the children were missing the couple had gone to Hawaii and gotten married in a blissful beach ceremony. Chad is Lori's fifth husband.

Lori told the police the kids were in Arizona, but when police came back the following day with a search warrant she and husband Chad had vanished - up and moving to Kauai, Hawaii, and subsequently defying court orders to reveal the children's whereabouts.

“I was informed that they're still probably sunning on the beach somewhere while we're sitting here wondering where the kids are,” Kay Woodcock, JJ's grandmother said in a press conference this week.

"The only word coming to mind right now is ‘monster,'" she added.

As investigations have ramped up against the couple, the strange goings-on inside their relationship have been revealed.

They have an obsession with doomsday theories with one of Lori's friends telling Fox 5 she is "100 percent into the end of times," and was in fact drawn to her husband because of his doomsday obsession. He works at a religious publishing company which focuses on apocalyptic novels based loosely on Mormon theology, and has five grown children of his own.

Lori's ex husband said in his divorce documents Lori believes she is "a god assigned to carry out the work of the 144,000 at Christ's second coming in July 2020," reports the Times, which also reports there are rumours of a cult being involved.

Months later, before their divorce was completed, Charles was dead.

In an interview with KSL, Annie Cushing - who is Tylee's late father's sister - said Lori had become so obsessed with the end of the world she often talked about 'driving off the edge of a cliff' with the children.

What happened to JJ and Tylee?

The brother and sister have never been reported missing by their mother or her husband Chad.

The Times reports Lori allegedly told another person her daughter had died more than a year ago, and Chad allegedly told someone else that Lori had no kids.

This month a storage company in Idaho released security footage of Lori visiting a storage unit in October and November with a man (believed to be her brother), leaving behind items that according to East Idaho News belonged to JJ and Tylee. Things like photographs, clothing, bikes and blankets.

Surveillance provided by @EastIDNews of Lori Vallow Daybell at the storage unit she abandoned full of children’s items including pictures of her kids. pic.twitter.com/ttnFHnxOYS

— Felicia Martinez (@FeliciaKSL) February 5, 2020

Also this month, CBS News reported that Idaho police had recently found Tylee's mobile phone with her mother and stepfather. On October 25, a text was allegedly sent from the phone to a concerned friend: “hi. miss you guys too …luv ya.” But the friend thought the response was unusual.

Police also discovered that two payments were made from Tylee's phone in October - to a family member.

Kay and Larry Woodcock, JJ's grandparents, have offered a US $20,000 reward for any information leading to the children's discovery.

"I can't say for sure what's going to happen next other than to say I hope it's something that will get her (Lori's) attention, because I would love to know where those kids are,” the Times reports Kay said in a press conference.

"I think all America wants to know where they are."

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