I read a weird story about a cave up in Miller County, Missouri. I know that isn’t local, but this tale is odd enough that I think you’ll still enjoy.
The site is known as Wilson’s Cave, and as strange as the story is, eyewitness accounts seem to verify that it is at least mostly true.
There was a very early settler named John Wilson who came to what is today Miller County from Kentucky (the year he arrived is disputed, and widely divergent, so I won’t mention it here).

At that time his only neighbors were Indian tribes, who helped him get along.
In the first two years at his new home, John Wilson and his young family lived in a one-room cave that now bears his name, by the Barren Fork of the Big Tavern Creek. They later moved into a log cabin he built.