Gonard is destroying Tokyo with a "power sphere" when confronted by Team LilyMu. Gonard incapacitates Lily, Mitsuki, and Guano. Mikey attempts to throw the team his shield, but misses and knocks the power sphere out of Gonard's hands. The sphere falls to the ground and shatters. Guano ends the scene.
Ozu arrives and informs the cast that they are going on a trip to visit a monument constructed by their fan club in their honor: Mount LilyMu. The cast are thrilled and prepare for the trip.
The cast are at the train station preparing to take a bullet train to Mount LilyMu. They meet Reiko, a representative from the LilyMu fan club, who will be travelling with them. Mitsuki points out Nabuko, one of her fans who exhibits an obsession with Mitsuki. They are approached by Socky, who asks Mitsuki to quit LilyMu and join his show. Mitsuki refuses, but Socky declares that he will find some way to changer her mind.
Meanwhile, Ozu is enjoying a weekend without the cast around. Yes Man prepares an omelet for Ozu, who is horrified to discover that it contains scallions, which he is allergic to. Ozu is rushed to the hospital.
The LilyMu cast's train arrives and they prepare to board, only to discover that Mikey has lost Mitsuki's ticket. They attempt to convince the conductor to let Mitsuki on without a ticket, but he refuses. Mitsuki tearfully resolves to take a later train.
On the train, Mikey is forced to give up his seat for Reiko and goes wandering off.
Back in Tokyo, Yes Man has repaired LilyMu Studio as an apology for poisoning Ozu. However, he accidentally destroys the studio again, angering Ozu.
While Mikey is walking around the train, he discovers Mitsuki tied up in an empty compartment. He attempts to free her, but is surprised by an unknown assailant and is knocked out.
Mikey is returned to the rest of the cast in a garbage bin and attempts to inform them of the situation. They are skeptical, but reluctantly agree to go with Mikey to find Mitsuki. The cast minus Lily search the train, but are unable to find Mitsuki. Gonard accidentally discovers the wrapper of an eel-and-lemon-flavored candy, which Mitsuki had previously stated was her favorite. They take it as confirmation that Mitsuki was on the train.
Yes Man is distraught over his failures and declares that he must resign from his service to Ozu. He runs away in tears while Ozu declares that he does not need Yes Man.
The cast return to Lily, and eventually convince her that Mitsuki was there by showing her the candy wrapper. Mikey speculates as to whom might have kidnapped Mitsuki. They first confront Socky, whom they accuse of the kidnapping due to his desire to have Mitsuki on his show. Socky, however, has an alibi, and they are forced to admit that he is innocent. The cast next suspect the conductor, on the grounds that he had denied Mitsuki passage on the train.
Ozu is giving a presentation, but finds his delivery lacking due to the absence of Yes Man. He attempts to replicate Yes Man's remarks, but fails miserably. He is forced to admit that he relies on Yes Man.
The LilyMu cast confront the conductor and accuse him of Mitsuki's kidnapping. They discover that the conductor's nervousness is not due to his guilt, but due to workplace stress. He does reveal that he had previously helped Nabuko carry a large box onto the train. They conclude that Nabuko must have kidnapped Mitsuki and put her in the box in order to transport her. They get the box's location from the conductor and go to investigate. Upon opening the box, they discover that it does not contain Mitsuki, but a life-size Mitsuki dummy. They confront Nabuko, who insists that she would never have harmed Mitsuki. The cast are unable to think of anyone else who might have done the kidnapping, until Reiko arrives and tells them that she had orchestrated it.
Reiko tells them how she had stolen Mitsuki's ticket to separate her from the rest of the cast, kidnapped her smuggled her onto the train, and then knocked out Mikey when he discovered Mitsuki, relying on the casts lack of trust in Mikey to prevent her discovery. Reiko reveals that she had previously auditioned for the role on LilyMu now played by Mitsuki, and had kidnapped her for revenge. She then releases the train car containing the cast, causing it to grind to a halt while the train speeds away. The cast discover a nearby pushcart, which they use to pursue the train.
They manage to make it back, where they chase after Reiko, who is carrying a bound Mitsuki. They pursue Reiko to the front of the train, where she pulls the emergency brake, leaves the train, and runs toward Mount LilyMu. The cast give chase as Reiko climbs the mountain with Mitsuki. Reiko severs the rope ladder she had used to climb the mountain as the cast were ascending it, causing everyone but Mikey to fall. Mikey manages to hang on and climbs after Reiko. Reiko reveals that she plans to use an alphorn to cause an avalanche that will crush Mitsuki. Mikey arrives, but is too late to stop Reiko from causing the avalanche.
Ozu meets Yes Man at the airport and convinces him to return.
Mikey frees Mitsuki from her bonds as the avalanche approaches. They manage to get to safety before the avalanche arrives. Reiko attempts to flee, but is stopped and captured by Gonard, Guano, and Lily. The cast are received by their fans in front of the now-destroyed Mount LilyMu. Ozu and Yes Man fly by in an airplane to celebrate their reunion.
The LilyMu episode is re-shot, with Mikey correctly throwing his shield to Lily and Mitsuki, who use it to reflect a blast from Gonard's power sphere. The blast knocks Gonard off of a building, defeating him.
- The episode spoofs at least two films by Alfred Hitchcock, one of them being North by Northwest. The title and story, however, are both based on the film The Lady Vanishes.
- Larry Schwarz makes a cameo appearance in this episode.
- The big-eared, flying elephant found on the train is a reference to the titular character of the film Dumbo.
- While searching for Mitsuki, Gonard adopts the appearance and mannerisms of the fictional detective Sherlock Holmes.
- Mikey's closing words are a reference to a quote taken from the inaugural address of U.S. President Franklin Delano Roosevelt: "The only thing we have to fear is fear itself".
- Mount LilyMu is a reference to the Mount Rushmore National Memorial, which Mikey points out.