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What mystery does the traveler face in The Lady Vanishes?

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In the 1938 Alfred Hitchcock thriller The Lady Vanishes, the traveler Iris Henderson faces a baffling mystery when her companion, an elderly governess named Miss Froy, disappears from a train.1

After Henderson falls unconscious, she awakens to find that Miss Froy is missing and that all other passengers on the train deny that the woman ever existed. With the help of a music teacher named Gilbert Redman, Henderson discovers that Miss Froy was abducted as part of an espionage conspiracy. It is eventually revealed that Miss Froy is a British spy who had been carrying a vital secret message encoded within a musical tune she memorized.1