Thank you everybody, and apologies for overreacting to your various theories.

I do indeed have another ancestor who was divorced (with the records describing the circumstances) and the wife shows up later as a "widow". At least for a few years, until she remarried. So yes, that does happen.

To be fair to my grandma, I never asked her where he was buried. We got interested in genealogy too late. Yes, he should show up somewhere, unless he changed his name and moved to Australia, or wound up on the bottom of the river....

Grandpa lived and worked in other places as well, such as Rochester, but both grandma and my Dad say that he died in Chicago. So my next step will be looking for news articles in the major newspapers. Wish me luck.