PHOENIX (3TV/CBS 5) - In their first and only interview with an Arizona media outlet, Lori Vallow's mother and sister defended her from accusations that she harmed her children and that she was involved in the death of her former husband or the death of her new husband's wife. They also offered an explanation for why Vallow has not produced her children. They say she has been threatened and is protecting them.

What Lori Vallow's mother and sister say about Vallow's two missing children

Our Morgan Loew sat dosn with the mother and sister of Lori Vallow to talk where her two missing children might be.

"I think it's unfair that she has been treated the way she has and I'm hoping that by us speaking out, people might soften their hearts a little bit towards her," said Summer Shiflet, who is Vallow's younger sister.

Shiflet and her mother, Janis Cox, said they simply cannot believe that someone who doted over her children for years could turn into a cold-blooded child killer.

"She sacrificed everything for her children and it has been unbearable for people to think that Lori doesn't care about her own children," said Cox.

Vallow's youngest children, Tylee Ryan and J.J. Vallow, have not been seen since September. Vallow and her new husband, Chad Daybell, have refused to answer questions from investigators or anyone else about the children's whereabouts. Asked if they know where the children are, Shiflet and Cox said they did not.

EXCLUSIVE: 'If something has happened to those children, it is not by her doing'

Lori Vallow's sister and their mother speak for the first time to Arizona's Family, saying the Lori they know could never hurt Tylee and JJ.

"I don't know where the children are, but she felt like she was keeping them safe. That's the impression she gave us," said Cox.

"I've talked to her a couple of times. The first time I talked to her, everything was recorded and I know she can't tell me and I don't want to put her in a position that's going to make anything worse for her. But I did tell her that we were worried about her and the kids. And she said to me, 'You know me and you know I've always taken care of my kids.' And I do know that. I do know that it's removed every doubt in my mind that she's done anything wrong," said Shiflet.

The grandparents of missing JJ Vallow speak out about the disappearance of JJ and his sister Tylee

We hear from the grandparents of Lori Vallow's missing son, JJ. He and his sister Tylee haven't been seen since September.

Cox and Shiflet say Lori received threats from her then-husband, Charles Vallow, before his death in July. Lori's brother, Alex Cox, shot and killed Charles and said it was self-defense.

They say Lori continued to receive threats from Charles' family members after the death. According to them, that is a major reason Lori left Arizona and moved to Rexburg, Idaho.

"Kay (Woodcock) was threatening her. And her brothers. They're very upset about Charles's death. There was (sic) a lot of threats made to Lori," said Shiflet.

Kay Woodcock denies threatening Lori, and shared emails with CBS 5 Investigates, which show she was asking to see J.J., but fall short of actual threats.

"I feel like Kay could have handled this a lot of different ways. And she could've gone and filed in court for J.J. She could've done things a lot of ways. She did this very strategically and deliberately. This is somebody who is hurting and is in pain because she's lost her brother and I understand that. But this is a revenge situation. This is something that could've been settled much quieter and calmly and didn't have to get to this level," said Shiflet.

Lori Vallow's request for lower bail denied by Idaho judge

Asked if they believe Lori is in a cult, the two women said they don't believe so. Asked if they believe Lori's new husband, Chad Daybell, is a cult leader, they also said they don't think so, but they admitted they have little first-hand knowledge of what Daybell is like, and did not attend the couple's wedding.

"I don't know Chad very well. I've only met him one time. I've never heard anything about himself proclaiming to be a prophet or anything else of that nature or trying to get people to follow him," said Shiflet.

"It's been devastating not to see Tylee and J.J. for so long. We love them so much. And it's been devastating not to see Lori," said Cox.

Morgan Loew's hard-hitting investigations can be seen weekdays on CBS 5 News at 6:30 p.m. and 10 p.m.

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