Reina was able to track down their family via Rob's Puzzle Page! This is a set from 1920, called the "Puzzle Party Set" by A.C. Gilbert. Worthopedia has a description:
Perfect for your antique toy and games collections is this great set made by The A.C. Gilbert Co.. Called Gilbert Puzzle Parties No. 1031, inside has 7 different metal mind solving puzzles Included is...Conjuring Rings, Twister Puzzle,Three Ring Puzzle, Question, Chinese Ring On String, Twin Rings and Wishbone Puzzle.Here is a close up photograph of the entire set with the instruction book:And here is a look at the other pieces I was able to find in the box!Looks like I have just about everything except for the instruction book- but that still might be in here somewhere. Thanks again Reina for your stellar detective skills!