Casablanca ni Ai o Satsujinsha wa Jikuu o Koete

The year is 1945. Jerry Randolph, a female reporter working for the Chicago newspaper "Daily Casablanca", finds a diary belonging to her high school friend May Elgar, who has disappeared several years ago under mysterious circumstances. Jerry discovers that May's father was working on a groundbreaking scientific project. Too late to save Dr. Elgar from untimely death, Jerry uses a time machine constructed by him to travel to 1916, following the traces left by the criminals.

[From mobygames]