Inspector Mills by America is a melancholic song that tells the story of a man's desperate search for an elusive woman he loves but can't find. The central theme of the song revolves around longing, searching, and unrequited love. The repeated pleas to 'Inspector Mills' symbolize the man's sense of urgency and helplessness in his quest. Key moments include vivid imagery of the woman's fleeting presence and the narrator's emotional plea for assistance, reflecting the depth of his infatuation and despair.