Dubose also said her sister was fearful of Moses' alleged cult, in the WTVD-TV interview.
"She was like, 'You don't understand about how it works, they kill people' and that he was known for carrying guns and that everyone down there who was affiliated with him was afraid of him," Dubose said.
McKoy's sister said the family needs some closure.
WTVD-TV contacted Durham police Thursday. A spokesman would not confirm the case is a death investigation.
In a news release, the spokesman said investigators went to the house in Durham several times in February to inquire about McKoy. On Feb. 18, investigators found Moses hiding in a cabinet and arrested him on old warrants, charging him with carrying a concealed weapon, discharging a firearm within the city limits, and writing a worthless check.
He was released from Durham County Jail after posting a $1,500 bond.
Late Friday, McKoy's brother said he was unhappy with police's handling of the investigation. Doindre Nwosu said he contacted police by e-mail on Jan. 14 and said that his sister was missing, two weeks before police issued a release stating she had been missing since Feb. 1.
"Six days later, they told me they contacted her by cell phone," said Nwosu. "They told me she was employed and in North Carolina of her own free will and OK. I was in disbelief. How could they handle the situation like that?"
Durham police did not respond to phone calls from KRDO NewsChannel 13 Friday requesting information about the case.
WTVD-TV contributed to this report.