On Sunday night, Melania Trump spoke at the Ford Theatre’s annual gala, where she served as honorary chairperson. It was her first major public appearance after her lengthy, and still unexplained, disappearance from the public eye this past month. The strangeness of this saga reminds us just how much the workings of this administration resemble classic Hollywood thrillers such as Hitchcock’s The Lady Vanishes and Rebecca or George Cukor’s Gaslight—all mystery stories surrounding a dead or missing woman, and the desperate anxiety, even near-madness, experienced by another woman trying to solve the mystery, as she grapples with physical danger as...