[susan53]

No idea if you can post the video - probably not if it's copyright, though if it's on the web you could link to it (please give the exact minutes/seconds of the extract) but

a) the meaning of "close in on" doesn't change - it means "getting nearer to the point to capturing someone" whatever the context is and whoever is involved.

b) your explanation that "me" is the victim makes even less sense than before. If "me" = Kelly, then Kelly must be the speaker and must have disappeared leaving it unclear if she was alive or dead.
The final sentence would make sense like this, but then the first part doesn't, as who is speaking ? If it's all one utterance then the beginning must be spoken by Kelly too - so why does she say "her" rather than "me"? And who are "we" and "they"? And the fact still remains that if the police have already questioned Bob they must know where he is. My new rewrite of the paragraph, with Kelly as speaker would therefore be :

The police suspect that Bob and Jim robbed me, and shot and killed me. They've already found Bob and questioned him, and are closing in on Jim. But they still have no idea where to find my body - or even if I really am dead.