Spoilers, or non-spoiler, I guess:
After Davey shot himself, either as he lay in the hospital, or after a semi-recovery and during treatment, he imagined himself as a detective--which is why he's obssessed with finding young women, keeps mentioning his sister, was discouraged by the person who knew him best from pursuing this specific case, and knows a lot about old movies. The weird pain in his arm was feeling his IV. And the dog he rescued from the cage was actually his sister, but his mind protected him from "seeing" her.
Guess that theory was incorrect.
