Season 2 Ep.8. Bray, Trudy, Patsy & Brady take a walk down to the river. It's Patsy's first day as official Brady-Minder. While her back is turned as she picks wild flowers, someone snatches Brady and makes off with her without being seen.
The Mallrats can only guess it was the Chosen. Only when Trudy disappears too, and the Mallrats try to rescue her, are their suspicions confirmed.
But here's the big question: how did the Chosen know about Brady and that she was Zoot's daughter?
When Zoot came to see Trudy at the Mall in S1.Ep.8, he did not expect to see her with a baby. He was surprised, and not in a good way, and thought it must be Bray's. Only when Trudy convinced him that she had slept with no one else, and that was only once, did he accept that he was the father.
Then Lex got involved, Zoot fell to his death, and took that knowledge to his grave. Bray subsequently told Ebony about Zoot's death, but never revealed that he had a daughter, and feared what might happen if she and the Locos ever did find out. In return for Zoot's talisman, Ebony promised Bray not to tell the Loco's that Zoot had died at the Mall.
Back to Season 2 Ep.8: When Bray and Trudy were arranging to take Brady out for a walk, unknown and unseen by them, a Chosen was listening from the sewer entrance. But they never mentioned Zoot. All he would learn was that a certain girl named Trudy was taking her baby called Brady for a walk outside the Mall. There is no hint that this baby is Zoot's daughter. THE CHOSEN COULD NOT HAVE KNOWN. In fact anyone listening would assume that Bray was the father, just as everyone at the Mall had assumed, until Zoot's death and "funeral", when Bray and Trudy were more open about Martin (aka Zoot). Certainly, when Dal caught the Chosen taking grain from the farm, he himself revealed that he had witnessed Zoot's death. So that's ALL they knew, that Zoot had died at the Mall, and no clue that he had fathered a baby.