Riffing off Horror on the Orient Express might prevent the players from wandering too far away from where the action is supposed to take place, as well. Talk about railroading...
In the 1920s, running away from the action is pretty hard, and given that it's the mythos, it likely means that the great old one or elder abomination or what have you will be killing you (and shortly the world) at full strength, rather than the weakened state you could have faced it at if you had continued the investigation.
It's also important to make sure all of the characters actively in play have a motivation to continue the investigation. If a character has the motivation and means to run away from the mythos, that character is no longer a valid PC in a Call of Cthulhu campaign. (this really is a major part of the game's high PC turnover as well. A lot of characters will die, but many more will simply stop having reason to continue the investigation or be driven insane and be unfit to help thwart the mythos)
Some good strategies to make sure you have someone to continue the investigation when (not if) you end up suffering a horrible fate:
-Keep a journal of all your mythos activities; make copies and place them in safe deposit boxes with instructions to deliver them to detectives or next of kin in the event you don't check in.
-Send stories about your investigation to local and national newspapers; you might get some extra spending money, and even if they don't publish what you're doing, the letters still might get saved in a back room somewhere where they can be found.
-If it looks like you REALLY aren't going to make it, sell your mythos tomes to a used bookshop. Try to include papers or letters inside explaining how dangerous they are, and burn them if you have old editions that contain real magic spells. (you could also vandalize out the particularly dangerous spells) In the unlikely event you survive, you can buy your mythos tomes back for a small fee.
-Make sure to correspond with friends, family, and professional contacts. Try to make sure they know about every new area you enter, and warn them that you're afraid of dying if the threat is particularly dire.
-If you have sufficient assets, try and keep your will updated constantly, making sure to make it clear who your mythos tomes, evidence, and mythos artifacts go to. A few gambits you can try if you have a lot of money include having a capable relative or acquaintance continue the investigation in exchange for a large sum, or if you're a particular sort of jerk, buy the deed to a mythos location and leave it to your survivors, possibly requiring them to perform an action that will neutralize the threat of the location to inherit the property.
-If you get hauled in by the police for a serious crime with evidence, don't hold back anything about the mythos. Tell the police, any journalists present, and anyone who will listen about the mythos and what is going on. This will get you into a sanitarium rather than in jail, and your statement is likely to be recorded, providing useful clues for future investigators.
-Tip well; it can make waiters, busboys, taxi drivers, and other service professionals remember you, and start investigating if you're found cut into 54 peices in an alley.
-Nothing gets people's attention like a flashy suicide, especially with a note explaining exactly how you were going to turn into a horrible scaly demon if you didn't.
-If you can enter the Dreamlands, preparing contingiencies in the realm of sleep are a good way to spread knowledge of your plight to people who already beleive in the mythos, although they might not be in a geographically convenient location.
-Never underestimate the value of discreetly scrawling grafitti with vital clues to future investigators everywhere you go. Such activities are doubly useful if they indicate the location of the next clue.