Additional research reveals hat Wren and McKay did publish other books. The 1933 Catalogue of Copyright Entries lists their “The Mystery Puzzle Book” and indicates an introduction by S. S. Van Dine (the pen name under which Philo Vance was created).
@Don Bagert Another similar newspaper feature was “The Deductions of Harvey Hunt” by Philip Francis Nowlan. I found this in the (Philadelphia) Evening Public Ledger from mid November 1920 thru mid March 1921, and the Washington Herald in roughly the same time frame. Both of that papers are free at chroniclingamerica. I found it later in 1921 in the Brooklyn Daily Eagle. This is also available free but I think you have to go through the New York library system. The same syndicate (I think) published a similar feature in 1924 titled “Can You Solve”.
Moreover, there were at least two long-running daily newspaper features that presented a short mystery. One was authored by Austin Ripley and was (usually) titles “Minute Mysteries”. I’ve come across this in newspapers as early as 1932 and as later as 1947. Papers I’ve found it in include the Ottawa Citizen, (Los Angeles) Illustrated Daily News, Oakland Tribune, (Washington, DC) Evening Star, Toledo Blade, and Pittsburgh Post-Gazette. Most of those papers can be found in google news archives (though it can be difficult), for free.
@Don Bagert the book I posted the link to has 30 mysteries. In searching for that this morning, I did see some evidence that Wren and McKay published a version with just 15 puzzles. I have no idea if they were 15 of the 30, or 15 new.
I have access to , but I still use the google newspaper archive more often. Chronicling America from the Library of Congress is also free, but I its coverage thins out for papers more recent than the 1920s.
Indiana was also a non-DST state until about 20 years ago.