Investigate when Passports were needed to leave USA, probably during the time of wars, ofcourse it depends on when you think he left the USA....and whether he used his own name.Did he join the Military and left the country that way? Did he have family in another country?
People did not have to leave the USA to disappear....
On ancesty there are some ship list
going and coming from UK.
Did you check out all the ship list available?http://www.cyndislist.comhttp://www.theshiplist.com/ships/wrecks/index.htm
PS I'm still looking for an ancestor bn 1868 and disappeared in 1910, one day I hope someone will stumble upon his grave.
Good luck in your search