In April 1939, Caspary used the profits of a Hollywood story sale to travel to Russia to "see how people lived" in what the "Daily Worker" had described as a paradise. During her trip across Europe she was nearly persuaded from guilt to marry an Austrian Jew in order to get him to the United States, but due to a slowness in paperwork she was saved that fate. She later learned that he made it to America on his own. She traveled through Germany by train, being strip-searched at border crossings. She visited Moscow and Leningrad, visiting factories, seeing the "worker's paradise", and finding time to attend the ballet, where a Russian Jewish gentleman proposed to her during the intermission. On her return trip through the Finnish border, the first-class car was empty, save for Caspary and Ivan Maisky, the Russian ambassador to Britain, who would have been carrying the ill-fated Russian offer for "collective security" to the Court of St James's.