I remember this from the first time I listened to all the episodes, so I also remembered the ending.  It was puzzling what that "no mouth" thing could be, but at the end it made sense.  This was a great episode as I, for one, couldn't see much of the plot evolving (although the "niece" hearing the tape was an obvious one) and it was involving evolving plot.  The only part I had a problem with (and it was a minor problem) was when the fiancé's psychologist friend gets from Joe's new name to his old name without even seeing him - that seemed like quite the leap of intuition to me.