On October 1, 1996, Pankey contacted the Kansas City Police Department to report that she had been robbed in the 600 block of east 6th Street. Officers came to the scene and a suspect was identified by Pankey and arrested. This is the last documented contact with her; she has never been heard from again.

Pankey has a history of going for long periods without contacting her family. As a result, they did not report her disappearance until January 28, 1998, over a year later. Her disappearance is believed to be related to the disappearances and murders of several other local women who were involved in prostitution and drugs. The other missing women include Connie Williams and Cheresa Lordi; both of them disappeared from Kansas City, Williams in 1996 and Lordi in 1997, and neither were ever found. Several other women were murdered and their bodies dumped in the Missouri River; their cases are believed to be connected to Lordi, Williams and Pankey's. Foul play is suspected in all the cases, which remain unsolved.

Some agencies give the date of Pankey's disappearance as July 30, 1996.