In a ruined palace in the woods, rummaging through discarded papers, our reporter finds a clue.

“Ellen, have you been trying to get in touch with the royal family of Oudh?” Our reporter receives an invitation to the forest.

The story passed for years from tea sellers to rickshaw drivers to shopkeepers in Old Delhi. In a forest, they said, in a palace cut off from the city, lived a prince, a princess and a queen, said to be the last of a Shiite Muslim royal line. Some said the family had been there since the British...