Dana,
I totally agree- we need a much broader perspective when looking for the unknown.
Expecting to find recognizable bones or the like is maybe a bit too optimisitic.
These creatures have absolutely no boney parts - they are totally jelly so I imagine unless they were preserved in something like amber they leave very little trace. Although I note in the first reference page some fossilized versions have been found recently.
Probably when they dessicate there are small quantities of organo chemicals left but that would be all.
The ones I have seen are only a few cm long at best and they tend to be in the top few meters of the Atlantic off the West coast of Ireland in July and August. Diving there can be surprising even though we are far from the tropics!