Do you know where I might find anything about this ‘vanity press’?
Extremely hard to find. I got to see a copy in a university library reserve collection, and offhand, I don’t remember the title. His writings are so extensive that someone actually wrote a book about his bibliography, and in book 2 of his 6 volume set of Prejudices, there is an unrelated story, ‘Roosevelt: An Autopsy’, which further distracts from the search.
It’s unlikely that more than a few hundred copies were ever printed, and they are probably cherished by collectors.
BTW, there is a recent reissue of Prejudices, which used to be very hard to get, but is now available on Amazon.