If someone is hearth summoned and executed while they are sleeping in a bed they continue to appear as if they are sleeping in it. This is what I read in an earlier thread.
Maybe you could try interacting with the bed to see if it is really a ghost sleeper or not. Beware of possible crashes however, since again, an early post reported a possible bug when two people sleep in the bed. I'd start by trying to pick it up. You're not supposed to be able to move a bed with someone in it, to prevent kidnapping people while they sleep, so if you can pick it up it would be further evidence that the new member was a thief and paid the appropriate fatal price for his merchandise.
Also, if his body is still around maybe try theft on the corpse? He might well still be carrying the missing pick-axe.