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A long-limbed man carrying a black bag moved with purpose through the morning bustle of Flushing, Queens. He walked into the hush of the Chun Fook funeral home and down the marble steps to where the paperwork of death is handled.

An employee in black led him into the privacy provided by a wooden screen. On a table draped with a gold cloth sat a small white box, and behind it, a framed portrait of the man’s sister and only sibling, Song Yang.

In late November 2017, she either jumped or fell from a fourth-floor window as the police were banging on her door to arrest her, once again, for prostitution. She landed hard on 40th Road, a truncated street known for restaurants, illegal massage parlors and women on its sidewalks calling out “Massage? Massage?”

Song Yang was 38.

Her brother and mother, Song Hai and Shi Yumei, rushed from their remote home in northeastern China to unfamiliar Flushing, where they spent the next 15 months. Distrustful of the police account, Mr. Song, 36, began his own investigation into her death, distributing information-wanted posters, swapping tips with reporters and interrogating his sister’s sex-work colleagues.