On one occasion his playing seemed to have put him at risk of injury. Waller was kidnapped in Chicago while leaving a performance in 1926. Four men bundled him into a car and took him to the Hawthorne Inn, owned by Al Capone. Waller was ordered inside the building and found a party taking place. With a gun to his back he was pushed towards a piano and told to play. A terrified Waller realized he was the "surprise guest" at Capone's birthday party and was relieved that the kidnappers had no intention of killing him.