"No Such Thing" tells the story of a young journalist who journeys to Iceland to find her missing fiancée only to encounter a mythical creature. She eventually forges a relationship with the being.

Many years after her notorious husband, Henry Fool, fled after killing a neighbor, Fay Grim receives a visit from CIA agent Fulbright, who tells her that Henry is dead, but that some of his journals have been unearthed in France. She sets forth on a globe-trotting odyssey that soon leads to the discovery that he is alive, and his journals are more than they appear to be.

Henry’s and Fay's son Ned sets out to find and kill his father for destroying his mother's life. But his aims are frustrated by the troublesome Susan, whose connection to Henry predates even his arrival in the lives of the Grim family.