BATON ROUGE - Thursday evening, dozens of police were outside a home on Shelley Street, where 28-year-old Da'ja Davis was found shot to death inside a car. Her six-month-old baby, Nyla, was missing.

"I got a phone call from the daycare saying that she hadn't picked up her son. That is not her. She is going to go through high water and hell to get her kids," Kim Davis, Da'Ja's mother said.

Kim says the family knew something was wrong when she stopped responding to phone calls and texts Wednesday evening. They contacted police 24 hours later. Not long after, detectives called with the grim news.

"She (the detective) gave the phone to my friend, and said, 'Kim, she is dead.' I said, 'Where is the baby?' and she said, 'The baby isn't there,'" Kim Davis said.

Police say Da'Ja's boyfriend, 29-year-old Napoleon Crane, shot and killed her. He then took a car and their baby and headed to Pennsylvania where he's from. BRPD on Thursday night issued an Amber Alert to police nationwide.

Friday morning, West Virginia State Police tried to pull Crane over in a rural part of the state near the Virginia border. He then shot at troopers. Early reports were that troopers shot and killed him.

Late Friday afternoon, BRPD said it now appeared Crane shot and killed himself.

Da'Ja's family left with more questions than answers.

"Now that he is gone, we will never find out why he took her," Kim Davis said.

They're thankful the baby was found safe. Friday evening, the family said they made it to the West Virginia hospital where Nyla is being looked after.

"I wish my sister was still here. I am happy for her baby, I really am," Rachon Davis, Da'Ja's brother said.

Da'Ja's family says they did not know of any problems between her and Crane.

The family has set up a GoFundMe here.