By KC Baker
February 28, 2019 01:00 PM
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Credit: Stanly County Sheriff's Office

The boyfriend of a missing and pregnant North Carolina woman was arrested and charged with allegedly murdering her and her unborn child – even though authorities have yet to find her body, PEOPLE confirms.

Joseph Lee Rhodes, 30, of Albemarle, was arrested on Tuesday and initially charged with possession of methamphetamine and drug paraphernalia, jail records show.

On Wednesday, he was charged with first-degree murder and murder of an unborn child in the disappearance and presumed death of Sasha Lee Naylor, 25, of Albemarle, Stanly County Sheriff Jeff Crisco tells PEOPLE.

“Her death has been a big shock to the community,” he says. “We have homicides here, but we don’t have homicides like this.”

Naylor was in a relationship with Rhodes, with whom she also has a young daughter, says the sheriff. Authorities believe Rhodes may be the father of the baby Naylor was carrying when she vanished.

She was last seen on August 21, 2018.

“After that, she had no bank transactions and no conversations with family or friends,” the sheriff says.

Naylor was officially declared missing in January, he says.

Joseph Lee Rhodes, 30
| Credit: Stanly County Sheriff's Office

On Feb. 21, the North Carolina Center for Missing Persons issued a Silver Alert for her, calling her a missing endangered woman believed to be suffering from dementia or some other cognitive impairment.

The alert says she was expecting her baby in early February.

“After that, we started getting a lot of information,” Crisco says.

One tip led investigators to Marshville, where Naylor’s car had been found abandoned and burnt in August 2018, just days after she was last seen, he says.

Tips led investigators to talk to Rhodes, Crisco says, adding that those conversations “were just lie after lie.”

Authorities believe Rhodes allegedly murdered Naylor last year and “covered it up,” local station WSOC reports.

Rhodes remains held at the Stanly County Detention Center on a $300,000 bond.

He has not yet entered a plea and it is unclear whether he has retained an attorney who can speak on his behalf.

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While being led out of the Stanly County Sheriff’s Office in handcuffs, Rhodes told local station WBTV that “he didn’t do nothing” and was being falsely accused.

Naylor’s family, who live in Ohio, are devastated by her loss, Crisco says.

“The main thing I hope with this is that there’s closure,” Crisco told WBTV. “I know that’s the main thing they’ve been seeking this whole time. I hope this does give them some closure.”

Anyone with information about Sasha Lee Naylor should call the Stanly County Sheriff’s Office at 704-986-3700.