What about this possibility?
We know thousands of tips came in related to the girls' murder and the sketch.
What if one or more people told police to check out DN.
What if the police questioned DN--checked his alibi etc? So DN (and, in theory, KN) both knew he had been looked into.
What if this is what scared DN and KN into leaving for CO to distance themselves from IN authorities?
What if KN provided a fake alibi or both of them lied about where they were that day originally...and that is why KN is giving these odd, circular interviews to the press? (For the record, I think KN might just be vulnerable and in deep need of stability.)