We know that President and Mrs. Davis spent the remainder of The War Between the States in Richmond. He had been inaugurated Provisional President of the Confederate States of America in Montgomery, the first capital of the Confederacy. On November 6, 1861 he was elected by the people to a six-year term as President, and on February 22 he was inaugurated first Permanent President of the CSA at Richmond.
After four years of heroic resistance, the South was crushed by the overwhelming might of the North. Davis and his Cabinet had to flee Richmond. On May 10, 1865 he was captured at Irwinville, Georgia by the Fourth Michigan Cavalry. He was accused of planning the assassination of President Lincoln. On May 22 he was imprisoned at Fortress Monroe, Virginia. He was shackled in irons and treated harshly.
Jefferson Davis, by Hudson Strode is an excellent biography on the life of the President. Strode says "He was submitted to gross indignities and temporarily chained. During the two years imprisonment, he bore his sufferings with great dignity and fortitude, hoping for a trial to vindicate the Southern cause. But the Federal Government never brought him to trial for treason, as feared it would be proved by the Constitution that the Southern States had a right to secede."
I will tell you "the rest of the story" tomorrow!